Simulation Running Again with multiple Trades
This commit is contained in:
Luis Fernando Molina committed
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11417851f6
commit
2aef400f50
3 files changed
+101
-75
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@@ -12,6 +12,7 @@ exports.newSnapshots = function newSnapshots(bot, logger) {
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}
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let tradingEngine
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let tradingSystem
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const SNAPSHOTS_FOLDER_NAME = 'Snapshots'
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@@ -36,19 +37,20 @@ exports.newSnapshots = function newSnapshots(bot, logger) {
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saveAsLastTakePositionSnapshot = false
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addToSnapshots = false
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return thisObject
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function initialize() {
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tradingEngine = bot.simulationState.tradingEngine
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tradingSystem = bot.simulationState.tradingSystem
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}
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function finalize() {
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tradingEngine = undefined
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tradingSystem = undefined
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}
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function manageSnapshots() {
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return // TODO enable this to run
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/* Snapshots Management (before we generate the trade record and delete that info) */
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if (saveAsLastTriggerOnSnapshot === true) {
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snapshots.lastTriggerOn = snapshotDataRecord
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@@ -62,8 +64,8 @@ exports.newSnapshots = function newSnapshots(bot, logger) {
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if (addToSnapshots === true) {
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let closeValues = [
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tradingEngine.episode.positionCounters.positions.value, // Position Number
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(new Date(candle.begin)).toISOString(), // Datetime
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tradingEngine.episode.episodeCounters.positions.value, // Position Number
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(new Date(tradingEngine.current.candle.begin.value)).toISOString(), // Datetime
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tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].name, // Strategy Name
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tradingEngine.current.strategy.situationName.value, // Trigger On Situation
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tradingEngine.current.position.situationName.value, // Take Position Situation
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@@ -33,8 +33,6 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) }
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let timerToCloseStage = 0 // TODO
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/* Stop Loss Management TODO */
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const MIN_STOP_LOSS_VALUE = 0.0000000001 // We can not let the stop be zero to avoid division by 0 error or infinity numbers as a result.
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const MAX_STOP_LOSS_VALUE = Number.MAX_SAFE_INTEGER
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@@ -194,7 +194,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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One possible error is that the formula references a .previous that is undefined. This
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will not be considered an error.
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*/
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value = false
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value = 0
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if (node.code.indexOf('previous') > -1 && err.message.indexOf('of undefined') > -1 ||
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node.code.indexOf('chart') > -1 && err.message.indexOf('of undefined') > -1
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@@ -403,26 +403,35 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let parentNode
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let p
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let phaseIndex
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let phase
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let stopLoss
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let stage
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
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stage = openStage
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.stopLoss !== undefined) {
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if (openStage.initialDefinition.initialStopLoss !== undefined) {
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parentNode = openStage.initialDefinition
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value
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phaseIndex = tradingEngine.current.position.stopLoss.stopLossPhase.value
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stopLoss = openStage.initialDefinition.initialStopLoss
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phase = stopLoss.phases[phaseIndex]
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}
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}
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}
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.stopLoss !== undefined) {
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stage = manageStage
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if (manageStage.managedStopLoss !== undefined) {
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parentNode = manageStage
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p = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
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phaseIndex = tradingEngine.current.position.stopLoss.stopLossPhase.value - 1
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stopLoss = manageStage.managedStopLoss
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phase = stopLoss.phases[phaseIndex]
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}
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}
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if (parentNode !== undefined) {
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let phase = parentNode.stopLoss.phases[p]
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if (phase === undefined) { return } // trying to jump to a phase that does not exists.
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/* Check the next Phase Event. */
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let nextPhaseEvent = phase.nextPhaseEvent
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@@ -448,17 +457,22 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(nextPhaseEvent.id)
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tradingSystem.highlights.push(phase.id)
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tradingSystem.highlights.push(parentNode.stopLoss.id)
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tradingSystem.highlights.push(stopLoss.id)
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tradingSystem.highlights.push(parentNode.id)
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tradingSystem.highlights.push(stage.id)
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tradingEngine.current.position.stopLoss.stopLossPhase.value++
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
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if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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/* TODO ANNOUNCEMENT
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checkAnnouncements(manageStage, 'Take Profit')
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*/
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}
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/* TODO ANNOUNCEMENT
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checkAnnouncements(nextPhaseEvent)
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*/
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return // only one event can pass at the time
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}
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}
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@@ -490,13 +504,14 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(moveToPhaseEvent.id)
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tradingSystem.highlights.push(phase.id)
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tradingSystem.highlights.push(parentNode.stopLoss.id)
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tradingSystem.highlights.push(stopLoss.id)
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tradingSystem.highlights.push(parentNode.id)
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tradingSystem.highlights.push(stage.id)
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let moveToPhase = moveToPhaseEvent.referenceParent
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if (moveToPhase !== undefined) {
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for (let q = 0; q < parentNode.stopLoss.phases.length; q++) {
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if (parentNode.stopLoss.phases[q].id === moveToPhase.id) {
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for (let q = 0; q < stopLoss.phases.length; q++) {
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if (stopLoss.phases[q].id === moveToPhase.id) {
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tradingEngine.current.position.stopLoss.stopLossPhase.value = q + 1
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}
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}
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@@ -508,9 +523,13 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'Manage Stage'
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if (tradingEngine.current.position.takeProfit.takeProfitPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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/* TODO ANNOUNCEMENT
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checkAnnouncements(manageStage, 'Take Profit')
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*/
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}
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/*
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checkAnnouncements(moveToPhaseEvent)
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*/
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return // only one event can pass at the time
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}
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}
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@@ -526,32 +545,31 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let phase
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let key
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.stopLoss !== undefined) {
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phase = openStage.initialDefinition.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value]
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key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value)
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if (openStage.initialDefinition.initialStopLoss !== undefined) {
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phase = openStage.initialDefinition.initialStopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value]
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}
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}
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}
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if (tradingEngine.current.position.stopLoss.stopLossStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.stopLoss !== undefined) {
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phase = manageStage.stopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
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key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (tradingEngine.current.position.stopLoss.stopLossPhase.value - 1)
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if (manageStage.managedStopLoss !== undefined) {
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phase = manageStage.managedStopLoss.phases[tradingEngine.current.position.stopLoss.stopLossPhase.value - 1]
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}
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}
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = tradingEngine.current.position.stopLoss.value
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tradingEngine.current.position.stopLoss.value = formulas.get(key)
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tradingEngine.current.position.stopLoss.value = formulas.get(phase.formula.id)
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/* TODO ANNOUNCEMENTS
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if (tradingEngine.current.position.stopLoss.value !== previousValue) {
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checkAnnouncements(phase, tradingEngine.current.position.stopLoss.value)
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}
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*/
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}
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}
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}
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@@ -563,26 +581,34 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let parentNode
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let p
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let phaseIndex
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let phase
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let takeProfit
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let stage
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
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stage = openStage
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.takeProfit !== undefined) {
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if (openStage.initialDefinition.initialTakeProfit !== undefined) {
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parentNode = openStage.initialDefinition
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p = tradingEngine.current.position.takeProfit.takeProfitPhase.value
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phaseIndex = tradingEngine.current.position.takeProfit.takeProfitPhase.value
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takeProfit = openStage.initialDefinition.initialTakeProfit
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phase = takeProfit.phases[phaseIndex]
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}
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}
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}
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.takeProfit !== undefined) {
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stage = manageStage
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if (manageStage.managedTakeProfit !== undefined) {
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parentNode = manageStage
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p = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
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phaseIndex = tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1
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takeProfit = manageStage.managedTakeProfit
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phase = takeProfit.phases[phaseIndex]
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}
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}
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if (parentNode !== undefined) {
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let phase = parentNode.takeProfit.phases[p]
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if (phase === undefined) { return } // trying to jump to a phase that does not exists.
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/* Check the next Phase Event. */
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@@ -609,17 +635,21 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(nextPhaseEvent.id)
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tradingSystem.highlights.push(phase.id)
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tradingSystem.highlights.push(parentNode.takeProfit.id)
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tradingSystem.highlights.push(takeProfit.id)
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tradingSystem.highlights.push(parentNode.id)
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tradingSystem.highlights.push(stage.id)
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tradingEngine.current.position.takeProfit.takeProfitPhase.value++
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
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if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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/* TODO ANNOUNCEMENT
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checkAnnouncements(manageStage, 'Stop')
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*/
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}
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/* TODO ANNOUNCEMENT
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checkAnnouncements(nextPhaseEvent)
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*/
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return // only one event can pass at the time
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}
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}
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@@ -651,13 +681,14 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingSystem.highlights.push(situation.id)
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tradingSystem.highlights.push(nextPhaseEvent.id)
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tradingSystem.highlights.push(phase.id)
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tradingSystem.highlights.push(parentNode.takeProfit.id)
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tradingSystem.highlights.push(takeProfit.id)
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tradingSystem.highlights.push(parentNode.id)
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tradingSystem.highlights.push(stage.id)
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let moveToPhase = moveToPhaseEvent.referenceParent
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if (moveToPhase !== undefined) {
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for (let q = 0; q < parentNode.takeProfit.phases.length; q++) {
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if (parentNode.takeProfit.phases[q].id === moveToPhase.id) {
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for (let q = 0; q < takeProfit.phases.length; q++) {
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if (takeProfit.phases[q].id === moveToPhase.id) {
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = q + 1
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}
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}
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@@ -669,10 +700,13 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'Manage Stage'
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if (tradingEngine.current.position.stopLoss.stopLossPhase.value > 0) {
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tradingEngine.current.strategy.stageType.value = 'Manage Stage'
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/* TODO ANNOUNCEMENT
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checkAnnouncements(manageStage, 'Stop')
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*/
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}
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/* TODO ANNOUNCEMENT
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checkAnnouncements(moveToPhaseEvent)
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*/
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return // only one event can pass at the time
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}
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}
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@@ -688,32 +722,31 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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let openStage = strategy.openStage
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let manageStage = strategy.manageStage
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let phase
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let key
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Open Stage' && openStage !== undefined) {
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if (openStage.initialDefinition !== undefined) {
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if (openStage.initialDefinition.takeProfit !== undefined) {
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phase = openStage.initialDefinition.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value]
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key = tradingEngine.current.strategy.index.value + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value)
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if (openStage.initialDefinition.initialTakeProfit !== undefined) {
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phase = openStage.initialDefinition.initialTakeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value]
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}
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}
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}
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if (tradingEngine.current.position.takeProfit.takeProfitStage.value === 'Manage Stage' && manageStage !== undefined) {
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if (manageStage.takeProfit !== undefined) {
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phase = manageStage.takeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
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key = tradingEngine.current.strategy.index.value + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1)
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if (manageStage.managedTakeProfit !== undefined) {
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phase = manageStage.managedTakeProfit.phases[tradingEngine.current.position.takeProfit.takeProfitPhase.value - 1]
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}
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}
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = tradingEngine.current.position.stopLoss.value
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tradingEngine.current.position.takeProfit.value = formulas.get(key)
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tradingEngine.current.position.takeProfit.value = formulas.get(phase.formula.id)
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/* TODO ANNOUNCEMENTS
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if (tradingEngine.current.position.takeProfit.value !== previousValue) {
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checkAnnouncements(phase, tradingEngine.current.position.takeProfit.value)
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}
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*/
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}
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}
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}
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@@ -764,8 +797,9 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingEngine.current.position.endRate.value = slippedStopLoss
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tradingEngine.current.strategy.stageType.value = 'Close Stage'
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/* TODO ANNOUNCEMENT
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checkAnnouncements(strategy.closeStage, 'Stop')
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*/
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
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tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
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@@ -810,8 +844,9 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingEngine.current.position.endRate.value = slippedTakeProfit
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tradingEngine.current.strategy.stageType.value = 'Close Stage'
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/* TODO ANNOUNCEMENT
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checkAnnouncements(strategy.closeStage, 'Take Profit')
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*/
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
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@@ -883,7 +918,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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}
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function closePosition() {
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tradingEngine.episode.positionCounters.positions.value++
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tradingEngine.episode.episodeCounters.positions.value++
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let feePaid = 0
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@@ -923,23 +958,20 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionBaseAsset.config.initialBalance - 1
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tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
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tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.episodeCounters.positions.value
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tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
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} else {
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tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionQuotedAsset.config.initialBalance - 1
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tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
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tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.episodeCounters.positions.value
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tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
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}
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addRecords()
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tradingEngine.current.position.stopLoss.value = 0
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tradingEngine.current.position.takeProfit.value = 0
|
||||
|
||||
tradingEngine.current.position.rate.value = 0
|
||||
tradingEngine.current.position.size.value = 0
|
||||
|
||||
timerToCloseStage = candle.begin
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value = -1
|
||||
@@ -949,21 +981,15 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
|
||||
function exitStrategyAfterPosition() {
|
||||
if (tradingEngine.current.strategy.stageType.value === 'Close Stage') {
|
||||
if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) {
|
||||
tradingEngine.current.strategy.end.value = candle.end
|
||||
tradingEngine.current.strategy.endRate.value = candle.min
|
||||
tradingEngine.current.strategy.status.value = 'Closed'
|
||||
|
||||
tradingEngine.current.strategy.index.value = -1
|
||||
tradingEngine.current.strategy.stageType.value = 'No Stage'
|
||||
tradingEngine.current.strategy.end.value = tradingEngine.current.candle.end.value
|
||||
tradingEngine.current.strategy.endRate.value = tradingEngine.current.candle.min.value
|
||||
tradingEngine.current.strategy.status.value = 'Closed'
|
||||
|
||||
timerToCloseStage = 0
|
||||
tradingEngine.current.distanceToEvent.triggerOff.value = 1
|
||||
tradingEngine.current.strategy.index.value = tradingEngine.current.strategy.index.config.initialValue
|
||||
tradingEngine.current.strategy.stageType.value = 'No Stage'
|
||||
|
||||
logger.write(MODULE_NAME, '[INFO] exitStrategyAfterPosition -> Exiting the Strategy.')
|
||||
} else {
|
||||
logger.write(MODULE_NAME, '[INFO] exitStrategyAfterPosition -> Waiting for timer.')
|
||||
}
|
||||
tradingEngine.current.distanceToEvent.triggerOff.value = 1
|
||||
}
|
||||
}
|
||||
|
||||
@@ -977,13 +1003,13 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
const DEFAULT_VALUE = balance
|
||||
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
||||
|
||||
if (strategy.openStage === undefined) return { DEFAULT_VALUE }
|
||||
if (strategy.openStage.initialDefinition === undefined) return { DEFAULT_VALUE }
|
||||
if (strategy.openStage.initialDefinition.positionSize === undefined) return { DEFAULT_VALUE }
|
||||
if (strategy.openStage.initialDefinition.positionSize.formula === undefined) return { DEFAULT_VALUE }
|
||||
if (strategy.openStage === undefined) return DEFAULT_VALUE
|
||||
if (strategy.openStage.initialDefinition === undefined) return DEFAULT_VALUE
|
||||
if (strategy.openStage.initialDefinition.positionSize === undefined) return DEFAULT_VALUE
|
||||
if (strategy.openStage.initialDefinition.positionSize.formula === undefined) return DEFAULT_VALUE
|
||||
|
||||
let value = formulas.get(strategy.openStage.initialDefinition.positionSize.formula.id)
|
||||
if (value === undefined) return { DEFAULT_VALUE }
|
||||
if (value === undefined) return DEFAULT_VALUE
|
||||
return value
|
||||
}
|
||||
|
||||
@@ -991,13 +1017,13 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
const DEFAULT_VALUE = tradingEngine.current.candle.close.value
|
||||
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
|
||||
|
||||
if (strategy.openStage === undefined) return { DEFAULT_VALUE }
|
||||
if (strategy.openStage.initialDefinition === undefined) return { DEFAULT_VALUE }
|
||||
if (strategy.openStage.initialDefinition.positionRate === undefined) return { DEFAULT_VALUE }
|
||||
if (strategy.openStage.initialDefinition.positionRate.formula === undefined) return { DEFAULT_VALUE }
|
||||
if (strategy.openStage === undefined) return DEFAULT_VALUE
|
||||
if (strategy.openStage.initialDefinition === undefined) return DEFAULT_VALUE
|
||||
if (strategy.openStage.initialDefinition.positionRate === undefined) return DEFAULT_VALUE
|
||||
if (strategy.openStage.initialDefinition.positionRate.formula === undefined) return DEFAULT_VALUE
|
||||
|
||||
let value = formulas.get(strategy.openStage.initialDefinition.positionRate.formula.id)
|
||||
if (value === undefined) return { DEFAULT_VALUE }
|
||||
if (value === undefined) return DEFAULT_VALUE
|
||||
return value
|
||||
}
|
||||
|
||||
|
||||
Reference in new issue
Block a user