All variable converted except execution and announcements
This commit is contained in:
Luis Fernando Molina committed
1 parent
f00757bf7a
commit
2c3d53b3a4
1 file changed
+90
-92
@@ -768,10 +768,10 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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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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variable.current.position.end = candle.end
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variable.current.position.status = 1
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variable.current.position.exitType = 1
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variable.current.position.endRate = closeRate
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tradingEngine.current.position.end.value = candle.end
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tradingEngine.current.position.status.value = 1
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tradingEngine.current.position.exitType.value = 1
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tradingEngine.current.position.endRate.value = closeRate
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closePositionNow = true
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}
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@@ -815,10 +815,10 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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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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variable.current.position.end = candle.end
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variable.current.position.status = 1
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variable.current.position.exitType = 2
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variable.current.position.endRate = closeRate
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tradingEngine.current.position.end.value = candle.end
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tradingEngine.current.position.status.value = 1
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tradingEngine.current.position.exitType.value = 2
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tradingEngine.current.position.endRate.value = closeRate
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closePositionNow = true
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addToSnapshots = true
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@@ -838,16 +838,16 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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/* Position size and rate */
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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variable.current.position.size = strategy.positionSize
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variable.current.position.rate = strategy.positionRate
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tradingEngine.current.position.size.value = strategy.positionSize
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tradingEngine.current.position.rate.value = strategy.positionRate
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/* We take what was calculated at the formula and apply the slippage. */
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let slippageAmount = variable.current.position.rate * bot.VALUES_TO_USE.slippage.positionRate / 100
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let slippageAmount = tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.slippage.positionRate / 100
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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variable.current.position.rate = variable.current.position.rate - slippageAmount
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tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value - slippageAmount
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} else {
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variable.current.position.rate = variable.current.position.rate + slippageAmount
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tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value + slippageAmount
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}
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if (bot.startMode === 'Live') {
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@@ -855,12 +855,12 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> strategy.positionSize = ' + strategy.positionSize)
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> strategy.positionRate = ' + strategy.positionRate)
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> slippageAmount = ' + slippageAmount)
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> variable.current.position.rate = ' + variable.current.position.rate)
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> tradingEngine.current.position.rate.value = ' + tradingEngine.current.position.rate.value)
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}
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/* Update the trade record information. */
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variable.current.position.begin = candle.begin
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variable.current.position.beginRate = variable.current.position.rate
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tradingEngine.current.position.begin.value = candle.begin
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tradingEngine.current.position.beginRate.value = tradingEngine.current.position.rate.value
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/* Check if we need to execute. */
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if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not. */
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@@ -968,17 +968,17 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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orderSide = 'sell'
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orderPrice = variable.current.position.rate
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orderPrice = tradingEngine.current.position.rate.value
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amountA = variable.current.position.size * orderPrice
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amountB = variable.current.position.size
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amountA = tradingEngine.current.position.size.value * orderPrice
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amountB = tradingEngine.current.position.size.value
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} else {
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orderSide = 'buy'
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orderPrice = variable.current.position.rate
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orderPrice = tradingEngine.current.position.rate.value
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amountA = variable.current.position.size
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amountB = variable.current.position.size / orderPrice
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amountA = tradingEngine.current.position.size.value
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amountB = tradingEngine.current.position.size.value / orderPrice
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}
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variable.executionContext = {
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@@ -1039,24 +1039,24 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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calculateTakeProfit()
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calculateStopLoss()
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variable.previous.balance.baseAsset = tradingEngine.current.balance.baseAsset.value
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variable.previous.balance.quotedAsset = tradingEngine.current.balance.quotedAsset.value
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tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
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tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
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variable.last.position.profitLoss = 0
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variable.last.position.ROI = 0
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tradingEngine.last.position.profitLoss.value = 0
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tradingEngine.last.position.ROI.value = 0
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let feePaid = 0
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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feePaid = variable.current.position.size * variable.current.position.rate * bot.VALUES_TO_USE.feeStructure.taker / 100
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feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + variable.current.position.size * variable.current.position.rate - feePaid
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - variable.current.position.size
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.current.position.size.value
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} else {
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feePaid = variable.current.position.size / variable.current.position.rate * bot.VALUES_TO_USE.feeStructure.taker / 100
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feePaid = tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + variable.current.position.size / variable.current.position.rate - feePaid
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - variable.current.position.size
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.current.position.size.value
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}
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addRecords()
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@@ -1208,7 +1208,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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function closePositionAtSimulation() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> closePositionAtSimulation -> Entering function.') }
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variable.episode.count.positions++
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tradingEngine.episode.positionCounters.positions.value++
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let feePaid = 0
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@@ -1231,33 +1231,33 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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}
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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variable.last.position.profitLoss = tradingEngine.current.balance.baseAsset.value - variable.previous.balance.baseAsset
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variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size
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if (isNaN(variable.last.position.ROI)) { variable.last.position.ROI = 0 }
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variable.episode.stat.profitLoss = tradingEngine.current.balance.baseAsset.value - variable.episode.parameters.initial.balance.baseAsset
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tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.previous.balance.baseAsset.value
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tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
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if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
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tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.baseAsset.value - sessionParameters.sessionBaseAsset.config.initialBalance
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} else {
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variable.last.position.profitLoss = tradingEngine.current.balance.quotedAsset.value - variable.previous.balance.quotedAsset
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variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size
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if (isNaN(variable.last.position.ROI)) { variable.last.position.ROI = 0 }
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variable.episode.stat.profitLoss = tradingEngine.current.balance.quotedAsset.value - variable.episode.parameters.initial.balance.quotedAsset
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tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.previous.balance.quotedAsset.value
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tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
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if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
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tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - sessionParameters.sessionQuotedAsset.config.initialBalance
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}
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variable.current.position.stat.ROI = variable.last.position.ROI
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tradingEngine.current.position.positionStatistics.ROI.value = tradingEngine.last.position.ROI.value
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if (variable.last.position.profitLoss > 0) {
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variable.episode.count.hits++
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if (tradingEngine.last.position.profitLoss.value > 0) {
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tradingEngine.episode.episodeCounters.hits.value++
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} else {
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variable.episode.count.fails++
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tradingEngine.episode.episodeCounters.fails.value++
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}
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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variable.episode.stat.ROI = (variable.episode.parameters.initial.balance.baseAsset + variable.episode.stat.profitLoss) / variable.episode.parameters.initial.balance.baseAsset - 1
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variable.episode.stat.hitRatio = variable.episode.count.hits / variable.episode.count.positions
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variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / tradingEngine.episode.episodeStatistics.days * 365
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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.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days * 365
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} else {
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variable.episode.stat.ROI = (variable.episode.parameters.initial.balance.quotedAsset + variable.episode.stat.profitLoss) / variable.episode.parameters.initial.balance.quotedAsset - 1
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variable.episode.stat.hitRatio = variable.episode.count.hits / variable.episode.count.positions
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variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / tradingEngine.episode.episodeStatistics.days * 365
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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.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days * 365
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}
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addRecords()
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@@ -1265,8 +1265,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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tradingEngine.current.position.stopLoss.value = 0
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tradingEngine.current.position.takeProfit.value = 0
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variable.current.position.rate = 0
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variable.current.position.size = 0
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tradingEngine.current.position.rate.value = 0
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tradingEngine.current.position.size.value = 0
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timerToCloseStage = candle.begin
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
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@@ -1316,10 +1316,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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addPositionRecord()
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/* We will remmember the last candle processed, so that if it is the last one of this run we can use it to continue from there next time. */
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variable.last.candle = {
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begin: candle.begin,
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end: candle.end
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}
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tradingEngine.last.candle.begin = candle.begin
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tradingEngine.last.candle.end = candle.end
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/* After everything at the simulation level was done, we will do the annoucements that are pending. */
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makeAnnoucements()
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@@ -1338,22 +1336,22 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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if (addToSnapshots === true) {
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let closeValues = [
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variable.episode.count.positions, // Position Number
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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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tradingSystem.strategies[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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hitOrFial(), // Result
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variable.last.position.ROI, // ROI
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tradingEngine.last.position.ROI.value, // ROI
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exitType() // Exit Type
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]
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function hitOrFial() {
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if (variable.last.position.ROI > 0) { return 'HIT' } else { return 'FAIL' }
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if (tradingEngine.last.position.ROI.value > 0) { return 'HIT' } else { return 'FAIL' }
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}
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function exitType() {
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switch (variable.current.position.exitType) {
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switch (tradingEngine.current.position.exitType.value) {
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case 1: return 'Stop'
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case 2: return 'Take Profit'
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}
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@@ -1392,33 +1390,33 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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candle.end,
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tradingEngine.current.balance.baseAsset.value,
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tradingEngine.current.balance.quotedAsset.value,
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variable.episode.stat.profitLoss,
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variable.last.position.profitLoss,
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tradingEngine.episode.episodeStatistics.profitLoss.value,
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tradingEngine.last.position.profitLoss.value,
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tradingEngine.current.position.stopLoss.value,
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variable.episode.count.positions,
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variable.episode.count.hits,
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variable.episode.count.fails,
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variable.episode.stat.hitRatio,
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variable.episode.stat.ROI,
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tradingEngine.episode.positionCounters.positions.value,
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tradingEngine.episode.episodeCounters.hits.value,
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tradingEngine.episode.episodeCounters.fails.value,
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tradingEngine.episode.episodeStatistics.hitRatio.value,
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tradingEngine.episode.episodeStatistics.ROI.value,
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tradingEngine.episode.episodeCounters.periods,
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tradingEngine.episode.episodeStatistics.days,
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variable.episode.stat.anualizedRateOfReturn,
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variable.current.position.rate,
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variable.last.position.ROI,
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tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value,
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tradingEngine.current.position.rate.value,
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tradingEngine.last.position.ROI.value,
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tradingEngine.current.position.takeProfit.value,
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tradingEngine.current.position.stopLoss.stopLossPhase.value,
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tradingEngine.current.position.takeProfit.takeProfitPhase.value,
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variable.current.position.size,
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variable.episode.parameters.initial.balance.baseAsset,
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tradingEngine.current.position.size.value,
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sessionParameters.sessionBaseAsset.config.initialBalance,
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sessionParameters.sessionBaseAsset.config.minimumBalance,
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sessionParameters.sessionBaseAsset.config.maximumBalance,
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variable.episode.parameters.initial.balance.quotedAsset,
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sessionParameters.sessionQuotedAsset.config.initialBalance,
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sessionParameters.sessionQuotedAsset.config.minimumBalance,
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sessionParameters.sessionQuotedAsset.config.maximumBalance,
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'"' + sessionParameters.sessionBaseAsset.name + '"',
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'"' + variable.episode.parameters.quotedAsset + '"',
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'"' + sessionParameters.sessionQuotedAsset.name + '"',
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'"' + bot.market.marketBaseAsset + '"',
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'"' + variable.episode.parameters.marketQuotedAsset + '"',
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'"' + bot.market.marketQuotedAsset + '"',
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tradingEngine.current.position.positionCounters.periods.value,
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tradingEngine.current.position.positionStatistics.days.value
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]
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@@ -1458,7 +1456,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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tradingEngine.current.strategy.begin.value,
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tradingEngine.current.strategy.end.value,
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tradingEngine.current.strategy.status.value,
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variable.current.strategy.index,
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tradingEngine.current.strategy.index.value,
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tradingEngine.current.strategy.beginRate.value,
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tradingEngine.current.strategy.endRate.value,
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'"' + tradingEngine.current.strategy.situationName.value + '"',
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@@ -1476,34 +1474,34 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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Lets see if there will be an open trade ...
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Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
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*/
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if (variable.current.position.begin !== 0 &&
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variable.current.position.end === 0 &&
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if (tradingEngine.current.position.begin.value !== 0 &&
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tradingEngine.current.position.end.value === 0 &&
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currentCandleIndex === candles.length - 2 &&
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lastCandle.end !== lastInstantOfTheDay) {
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/* This means the trade is open */
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variable.current.position.status = 2
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variable.current.position.end = candle.end
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variable.current.position.endRate = candle.close
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tradingEngine.current.position.status.value = 2
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tradingEngine.current.position.end.value = candle.end
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tradingEngine.current.position.endRate.value = candle.close
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/* Here we will calculate the ongoing ROI */
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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variable.current.position.stat.ROI = (variable.current.position.rate - candle.close) / variable.current.position.rate * 100
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tradingEngine.current.position.positionStatistics.ROI.value = (tradingEngine.current.position.rate.value - candle.close) / tradingEngine.current.position.rate.value * 100
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} else {
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variable.current.position.stat.ROI = (candle.close - variable.current.position.rate) / variable.current.position.rate * 100
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tradingEngine.current.position.positionStatistics.ROI.value = (candle.close - tradingEngine.current.position.rate.value) / tradingEngine.current.position.rate.value * 100
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}
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}
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/* Prepare the information for the Positions File */
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if (variable.current.position.begin !== 0 && variable.current.position.end !== 0) {
|
||||
if (tradingEngine.current.position.begin.value !== 0 && tradingEngine.current.position.end.value !== 0) {
|
||||
let positionRecord = [
|
||||
variable.current.position.begin,
|
||||
variable.current.position.end,
|
||||
variable.current.position.status,
|
||||
variable.current.position.stat.ROI,
|
||||
variable.current.position.beginRate,
|
||||
variable.current.position.endRate,
|
||||
variable.current.position.exitType,
|
||||
tradingEngine.current.position.begin.value,
|
||||
tradingEngine.current.position.end.value,
|
||||
tradingEngine.current.position.status.value,
|
||||
tradingEngine.current.position.positionStatistics.ROI.value,
|
||||
tradingEngine.current.position.beginRate.value,
|
||||
tradingEngine.current.position.endRate.value,
|
||||
tradingEngine.current.position.exitType.value,
|
||||
'"' + tradingEngine.current.position.situationName.value + '"'
|
||||
]
|
||||
|
||||
|
||||
Reference in new issue
Block a user