Implementation finished, chart, market and exchange data structures available to conditions and formulas.

2021-02-02 13:25:42 +01:00
1 parent b18fc0335a
commit 2eb96dc048
@@ -26,7 +26,14 @@ exports.newSuperalgosBotModulesTradingOutput = function (processIndex) {

    }

-    async function start(chart, timeFrame, timeFrameLabel, tradingProcessDate) {
+    async function start(
+        chart,
+        exchange,
+        market,
+        timeFrame,
+        timeFrameLabel,
+        tradingProcessDate
+    ) {
        try {

            if (timeFrame > TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[0][0]) {
@@ -73,6 +80,8 @@ exports.newSuperalgosBotModulesTradingOutput = function (processIndex) {

            await tradingSimulationModuleObject.runSimulation(
                chart,
+                exchange,
+                market,
                outputDatasetsMap,
                writeFiles
            )
@@ -14,7 +14,7 @@
    let statusDependencies
    let dataDependenciesModule
    let dataFiles = new Map()
-    let multiPeriodDataFiles = new Map()
+    let multiTimeFrameDataFiles = new Map()
    let fileStorage = TS.projects.superalgos.taskModules.fileStorage.newFileStorage(processIndex)
    TS.projects.superalgos.globals.processModuleObjects.MODULE_OBJECTS_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_ENGINE_MODULE_OBJECT = TS.projects.superalgos.botModules.tradingEngine.newSuperalgosBotModulesTradingEngine(processIndex)
    let tradingOutputModuleObject = TS.projects.superalgos.botModules.tradingOutput.newSuperalgosBotModulesTradingOutput(processIndex)
@@ -47,7 +47,7 @@
        tradingOutputModuleObject = undefined

        dataFiles = undefined
-        multiPeriodDataFiles = undefined
+        multiTimeFrameDataFiles = undefined
        statusDependencies = undefined
        dataDependenciesModule = undefined
        fileStorage = undefined
@@ -115,10 +115,11 @@
                return
            }
            /*
-            This is the Data Structure used at the Simulation with all indicator data.
-            We start creating it right here.
+            These are the Data Structures used by end users at Conditions Code or Formulas.
            */
            let chart = {}
+            let market = {}
+            let exchange = {}
            /*
                Here we check if we need to get Daily Files or not. As an optimization, when 
                we are running on a Time Frame of 1hs or above, we are not going to load 
@@ -133,7 +134,7 @@
                data structure that will be used in user-defied conditions and formulas.
                */
                TS.projects.superalgos.functionLibraries.sessionFunctions.sessionHeartBeat(processIndex, undefined, undefined, 'Waking up')
-                buildCharts(chart)
+                buildDataStructures(chart)

                if (checkThereAreCandles(chart) === true) {
                    TS.projects.superalgos.functionLibraries.sessionFunctions.sessionHeartBeat(processIndex, undefined, undefined, 'Running')
@@ -172,7 +173,7 @@
                    With all the indicators data files loaded, we will build the chart object 
                    data structure that will be used in user-defied conditions and formulas.
                    */
-                    buildCharts(chart)
+                    buildDataStructures(chart)
                    /*
                    The process of generating the output includes the trading simulation.
                    */
@@ -209,7 +210,7 @@
            */
            callBackFunction(TS.projects.superalgos.globals.standardResponses.DEFAULT_OK_RESPONSE)

-            function checkThereAreCandles(chart) {
+            function checkThereAreCandles() {
                let sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
                let propertyName = 'at' + sessionParameters.timeFrame.config.label.replace('-', '')
                let candles = chart[propertyName].candles
@@ -373,7 +374,7 @@
                }

                let mapKey = "Single Files"
-                multiPeriodDataFiles.set(mapKey, dataFiles)
+                multiTimeFrameDataFiles.set(mapKey, dataFiles)
            }

            async function processMarketFiles() {
@@ -472,7 +473,7 @@
                    }

                    let mapKey = TS.projects.superalgos.globals.timeFrames.marketFilesPeriods()[n][1]
-                    multiPeriodDataFiles.set(mapKey, dataFiles)
+                    multiTimeFrameDataFiles.set(mapKey, dataFiles)
                }
                return true
            }
@@ -569,7 +570,7 @@
                        }
                    }
                    let mapKey = TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[n][1]
-                    multiPeriodDataFiles.set(mapKey, dataFiles)
+                    multiTimeFrameDataFiles.set(mapKey, dataFiles)
                }
                return true
            }
@@ -600,7 +601,7 @@
                }
            }

-            function buildCharts(chart) {
+            function buildDataStructures() {
                /* Fisrt Phase: Validations */
                let mainDependency = {}
                /* 
@@ -639,47 +640,108 @@
                or data structure that can be used in Javascript Code and 
                Formula nodes to access Indicator's data. 
                */
-                for (let j = 0; j < TS.projects.superalgos.globals.timeFrames.marketFilesPeriods().length; j++) {
-                    let timeFrameLabel = TS.projects.superalgos.globals.timeFrames.marketFilesPeriods()[j][1]
-                    let dataFiles = multiPeriodDataFiles.get(timeFrameLabel)
-                    let products = {}

-                    if (dataFiles !== undefined) {
-                        TS.projects.superalgos.functionLibraries.singleMarketFunctions.inflateDatafiles(processIndex, dataFiles, dataDependencies, products, mainDependency, currentTimeFrame)
+                let exchangeList = Array.from(dataDependenciesModule.filters.exchange.list.keys())
+                let marketList = Array.from(dataDependenciesModule.filters.market.list.keys())

-                        let propertyName = 'at' + timeFrameLabel.replace('-', '')
-                        chart[propertyName] = products
+                for (let e = 0; e < exchangeList.length; e++) {
+                    let currentExchange = exchangeList[e]
+                    for (let m = 0; m < marketList.length; m++) {
+                        let currentMarket = marketList[m]
+                        let splittedMarket = currentMarket.split('-')
+                        let baseAsset = splittedMarket[0]
+                        let quotedAsset = splittedMarket[1]
+
+                        /* Market Files */
+                        for (let j = 0; j < TS.projects.superalgos.globals.timeFrames.marketFilesPeriods().length; j++) {
+                            let timeFrameLabel = TS.projects.superalgos.globals.timeFrames.marketFilesPeriods()[j][1]
+                            let dataFiles = multiTimeFrameDataFiles.get(timeFrameLabel)
+                            let products = {}
+
+                            if (dataFiles !== undefined) {
+                                TS.projects.superalgos.functionLibraries.singleMarketFunctions.inflateDatafiles(processIndex, dataFiles, dataDependencies, products, mainDependency, currentTimeFrame)
+
+                                let propertyName = 'at' + timeFrameLabel.replace('-', '')
+                                addProducs(propertyName)
+                            }
+                        }
+
+                        /* Daily Files */
+                        for (let j = 0; j < TS.projects.superalgos.globals.timeFrames.dailyFilePeriods().length; j++) {
+                            let timeFrameLabel = TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[j][1]
+                            let dataFiles = multiTimeFrameDataFiles.get(timeFrameLabel)
+                            let products = {}
+
+                            if (dataFiles !== undefined) {
+                                TS.projects.superalgos.functionLibraries.singleMarketFunctions.inflateDatafiles(processIndex, dataFiles, dataDependencies, products, mainDependency, currentTimeFrame)
+
+                                let propertyName = 'at' + timeFrameLabel.replace('-', '')
+                                addProducs(propertyName)
+                            }
+                        }
+
+                        /* Single Files */
+                        let dataFiles = multiTimeFrameDataFiles.get('Single Files')
+                        let products = {}
+
+                        if (dataFiles !== undefined) {
+                            TS.projects.superalgos.functionLibraries.singleMarketFunctions.inflateDatafiles(processIndex, dataFiles, dataDependencies, products, mainDependency, currentTimeFrame)
+
+                            let propertyName = 'atAnyTimeFrame'
+                            addProducs(propertyName)
+                        }
+
+                        function addProducs(propertyName) {
+                            /*
+                            The chart data structure allow users to simplify the syntax when they are using 
+                            the default exchange and the default market. 
+                            */
+                            if (currentExchange === dataDependenciesModule.defaultExchange && currentMarket === dataDependenciesModule.defaultMarket) {
+                                chart[propertyName] = products
+                            }
+                            /*
+                            The market data structure allow users to simplify the syntax when they are using 
+                            the default exchange. 
+                            */
+                            if (currentExchange === dataDependenciesModule.defaultExchange) {
+                                if (market[baseAsset] === undefined) {
+                                    market[baseAsset] = {}
+                                }
+                                if (market[baseAsset][quotedAsset] === undefined) {
+                                    market[baseAsset][quotedAsset] = {}
+                                }
+                                if (market[baseAsset][quotedAsset].chart === undefined) {
+                                    market[baseAsset][quotedAsset].chart = {}
+                                }
+                                market[baseAsset][quotedAsset].chart[propertyName] = products
+                            }
+
+                            if (exchange[currentExchange] === undefined) {
+                                exchange[currentExchange] = {}
+                            }
+                            if (exchange[currentExchange].market === undefined) {
+                                exchange[currentExchange].market = {}
+                            }
+                            if (exchange[currentExchange].market[baseAsset] === undefined) {
+                                exchange[currentExchange].market[baseAsset] = {}
+                            }
+                            if (exchange[currentExchange].market[baseAsset][quotedAsset] === undefined) {
+                                exchange[currentExchange].market[baseAsset][quotedAsset] = {}
+                            }
+                            if (exchange[currentExchange].market[baseAsset][quotedAsset].chart === undefined) {
+                                exchange[currentExchange].market[baseAsset][quotedAsset].chart = {}
+                            }
+                            exchange[currentExchange].market[baseAsset][quotedAsset].chart[propertyName] = products
+                        }
                    }
                }
-
-                for (let j = 0; j < TS.projects.superalgos.globals.timeFrames.dailyFilePeriods().length; j++) {
-                    let timeFrameLabel = TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[j][1]
-                    let dataFiles = multiPeriodDataFiles.get(timeFrameLabel)
-                    let products = {}
-
-                    if (dataFiles !== undefined) {
-                        TS.projects.superalgos.functionLibraries.singleMarketFunctions.inflateDatafiles(processIndex, dataFiles, dataDependencies, products, mainDependency, currentTimeFrame)
-
-                        let propertyName = 'at' + timeFrameLabel.replace('-', '')
-                        chart[propertyName] = products
-                    }
-                }
-
-                /* Single Files */
-                let dataFiles = multiPeriodDataFiles.get('Single Files')
-                let products = {}
-
-                if (dataFiles !== undefined) {
-                    TS.projects.superalgos.functionLibraries.singleMarketFunctions.inflateDatafiles(processIndex, dataFiles, dataDependencies, products, mainDependency, currentTimeFrame)
-
-                    let propertyName = 'atAnyTimeFrame'
-                    chart[propertyName] = products
-                }
            }

-            async function generateOutput(chart) {
+            async function generateOutput() {
                await tradingOutputModuleObject.start(
                    chart,
+                    market,
+                    exchange,
                    currentTimeFrame,
                    currentTimeFrameLabel,
                    tradingProcessDate
@@ -17,6 +17,8 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {

    async function runSimulation(
        chart,
+        exchange,
+        market,
        outputDatasetsMap,
        writeFiles,
    ) {
@@ -146,7 +148,11 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
                positionChartAtCurrentCandle()

                /* The chart was recalculated based on the current candle. */
-                tradingSystemModuleObject.updateChart(chart)
+                tradingSystemModuleObject.updateChart(
+                    chart,
+                    exchange,
+                    market
+                    )

                /* 
                Do the stuff needed previous to the run like 
@@ -13,7 +13,14 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex) {
        finalize: finalize
    }

+    /* 
+    These 3 are the main data structures available to users
+    when writing conditions and formulas.
+    */
    let chart
+    let exchange
+    let market
+
    let tradingSystem
    let tradingEngine
    let sessionParameters
@@ -115,6 +122,8 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex) {
        tradingStagesModuleObject = undefined

        chart = undefined
+        exchange = undefined
+        market = undefined

        tradingSystem.conditions = undefined
        tradingSystem.formulas = undefined
@@ -151,8 +160,15 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex) {
        tradingSystem.announcements = []
    }

-    function updateChart(pChart) {
-        chart = pChart // We need chat to be a local object accessible from conditions and formulas.
+    function updateChart(pChart, pExchange, pMarket) {
+        /* 
+        We need these 3 data structures  to be a local objects 
+        accessible while evaluating conditions and formulas.
+        */
+        chart = pChart
+        exchange = pExchange
+        market = pMarket
+
        tradingStagesModuleObject.updateChart(pChart)
    }

@@ -21,6 +21,8 @@

    let thisObject = {
        filters: undefined,
+        defaultExchange: undefined,
+        defaultMarket: undefined,
        curatedDependencyNodeArray: undefined,
        dataSetsModulesArray: [],
        initialize: initialize,
@@ -101,13 +103,13 @@
            At our filter structure, we will add the Task default exchange and market. 
            This will help us lateer to build other structures in a generic way.
            */
-            let defaultExchange = TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.parentNode.parentNode.config.codeName
-            let defautMarket =
+            thisObject.defaultExchange = TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.parentNode.parentNode.config.codeName
+            thisObject.defautMarket =
                TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.baseAsset.referenceParent.config.codeName +
                "-" +
                TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.quotedAsset.referenceParent.config.codeName
-            thisObject.filters.exchange.list.set(defaultExchange, true)
-            thisObject.filters.exchange.markets.set(defaultExchange + '-' + defautMarket, true)
+            thisObject.filters.exchange.list.set(thisObject.defaultExchange, true)
+            thisObject.filters.exchange.markets.set(thisObject.defaultExchange + '-' + thisObject.defautMarket, true)
            thisObject.filters.market.list.set(true)
            /*
            For each dependency declared at the curatedDependencyNodeArray, we will initialize a DataSet as part of this initialization process.
@@ -243,6 +245,8 @@
        thisObject.dataSetsModulesArray = undefined
        thisObject.curatedDependencyNodeArray = undefined
        thisObject.filters = undefined
+        thisObject.defaultExchange = undefined
+        thisObject.defaultMarket = undefined
        bot = undefined
    }
 }