Code Moved to Values to Use function
This commit is contained in:
Luis Fernando Molina committed
1 parent
456562f64c
commit
35b369a9a3
1 file changed
+45
-184
+45
-184
@@ -75,145 +75,6 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> userDefinedStartDatetime = " + userDefinedStartDatetime); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> userDefinedEndDatetime = " + userDefinedEndDatetime); }
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const DEFAULT_BASE_ASSET_BALANCE = 1
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const DEFAULT_BASE_ASSET_MINIMUN_BALANCE = 0.5
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const DEFAULT_BASE_ASSET_MAXIMUN_BALANCE = 2
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let initialBalanceA = DEFAULT_BASE_ASSET_BALANCE
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let minimumBalanceA = DEFAULT_BASE_ASSET_MINIMUN_BALANCE
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let maximumBalanceA = DEFAULT_BASE_ASSET_MAXIMUN_BALANCE
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let initialBalanceB = 0
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let minimumBalanceB = 0
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let maximumBalanceB = 0
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let baseAsset = 'BTC'
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/* Parameters Processing */
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if (tradingSystem.parameters !== undefined) {
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if (tradingSystem.parameters.baseAsset !== undefined) {
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let code
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try {
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code = JSON.parse(tradingSystem.parameters.baseAsset.code);
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if (code.name !== undefined) {
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baseAsset = code.name;
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if (baseAsset !== 'BTC' && baseAsset !== 'USDT') {
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tradingSystem.parameters.baseAsset.error = baseAsset + ' is not supported. Using default: BTC.'
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baseAsset = 'BTC'
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}
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}
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if (baseAsset === 'BTC') {
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if (code.initialBalance !== undefined) {
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initialBalanceA = code.initialBalance;
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initialBalanceB = 0
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} else {
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initialBalanceA = DEFAULT_BASE_ASSET_BALANCE;
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initialBalanceB = 0
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}
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if (code.minimumBalance !== undefined) {
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minimumBalanceA = code.minimumBalance;
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minimumBalanceB = 0
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} else {
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minimumBalanceA = DEFAULT_BASE_ASSET_MINIMUN_BALANCE;
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minimumBalanceB = 0
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}
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if (code.maximumBalance !== undefined) {
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maximumBalanceA = code.maximumBalance;
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maximumBalanceB = 0
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} else {
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maximumBalanceA = DEFAULT_BASE_ASSET_MAXIMUN_BALANCE;
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maximumBalanceB = 0
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}
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} else {
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if (code.initialBalance !== undefined) {
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initialBalanceB = code.initialBalance;
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initialBalanceA = 0
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} else {
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initialBalanceB = DEFAULT_BASE_ASSET_BALANCE;
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initialBalanceA = 0
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}
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if (code.minimumBalance !== undefined) {
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minimumBalanceB = code.minimumBalance;
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minimumBalanceA = 0
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} else {
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minimumBalanceB = DEFAULT_BASE_ASSET_MINIMUN_BALANCE;
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minimumBalanceA = 0
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}
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if (code.maximumBalance !== undefined) {
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maximumBalanceB = code.maximumBalance;
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maximumBalanceA = 0
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} else {
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maximumBalanceB = DEFAULT_BASE_ASSET_MAXIMUN_BALANCE;
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maximumBalanceA = 0
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}
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}
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} catch (err) {
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tradingSystem.parameters.baseAsset.error = err.message
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}
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}
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}
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/* Slippage */
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let slippage = { // Default Values
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positionRate: 0,
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stopLoss: 0,
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takeProfit: 0
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}
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if (definition.tradingSystem !== undefined) {
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if (definition.tradingSystem.parameters !== undefined) {
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if (definition.tradingSystem.parameters.slippage !== undefined) {
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if (definition.tradingSystem.parameters.slippage.code !== undefined) {
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try {
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let code = JSON.parse(definition.tradingSystem.parameters.slippage.code)
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if (code.positionRate !== undefined) {
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slippage.positionRate = code.positionRate
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}
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if (code.stopLoss !== undefined) {
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slippage.stopLoss = code.stopLoss
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}
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if (code.takeProfit !== undefined) {
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slippage.takeProfit = code.takeProfit
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}
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} catch (err) {
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tradingSystem.parameters.slippage.error = err.message
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}
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}
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}
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}
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}
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/* Fee Structure */
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let feeStructure = { // Default Values
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maker: 0,
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taker: 0
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}
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if (definition.tradingSystem !== undefined) {
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if (definition.tradingSystem.parameters !== undefined) {
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if (definition.tradingSystem.parameters.feeStructure !== undefined) {
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if (definition.tradingSystem.parameters.feeStructure.code !== undefined) {
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try {
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let code = JSON.parse(definition.tradingSystem.parameters.feeStructure.code)
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if (code.maker !== undefined) {
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feeStructure.maker = code.maker
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}
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if (code.taker !== undefined) {
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feeStructure.taker = code.taker
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}
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} catch (err) {
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tradingSystem.parameters.feeStructure.error = err.message
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}
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}
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}
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}
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}
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let timerToCloseStage = 0
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/* Stop Loss Management */
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@@ -305,8 +166,8 @@
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endRate: 0
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}
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let balanceAssetA = initialBalanceA;
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let balanceAssetB = initialBalanceB;
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let balanceAssetA = bot.VALUES_TO_USE.initialBalanceA;
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let balanceAssetB = bot.VALUES_TO_USE.initialBalanceB;
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let lastTradeProfitLoss = 0;
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let profit = 0;
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@@ -886,7 +747,7 @@
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if (openStage !== undefined) {
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/* Default Values*/
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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positionSize = balanceAssetA;
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positionRate = candle.close;
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} else {
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@@ -909,13 +770,13 @@
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initialDefinition.positionSize.formula.error = err.message
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}
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if (isNaN(positionSize)) {
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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positionSize = balanceAssetA;
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} else {
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positionSize = balanceAssetB;
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}
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} else {
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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if (positionSize > balanceAssetA) { positionSize = balanceAssetA }
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} else {
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if (positionSize > balanceAssetB) { positionSize = balanceAssetB }
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@@ -936,7 +797,7 @@
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initialDefinition.positionRate.formula.error = err.message
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}
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if (isNaN(positionRate)) {
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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positionRate = candle.close;
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} else {
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positionRate = candle.close;
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@@ -1243,14 +1104,14 @@
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let maximumBalance
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let balance
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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balance = balanceAssetA
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minimumBalance = minimumBalanceA
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maximumBalance = maximumBalanceA
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minimumBalance = bot.VALUES_TO_USE.minimumBalanceA
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maximumBalance = bot.VALUES_TO_USE.maximumBalanceA
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} else {
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balance = balanceAssetB
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minimumBalance = minimumBalanceB
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maximumBalance = maximumBalanceB
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minimumBalance = bot.VALUES_TO_USE.minimumBalanceB
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maximumBalance = bot.VALUES_TO_USE.maximumBalanceB
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}
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if (balance > minimumBalance && balance < maximumBalance) {
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@@ -1787,7 +1648,7 @@
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/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
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if ((baseAsset === 'BTC' && candle.max >= stopLoss) || (baseAsset !== 'BTC' && candle.min <= stopLoss)) {
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if ((bot.VALUES_TO_USE.baseAsset === 'BTC' && candle.max >= stopLoss) || (bot.VALUES_TO_USE.baseAsset !== 'BTC' && candle.min <= stopLoss)) {
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/*
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Hit Point Validation
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@@ -1796,7 +1657,7 @@
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If we take the stop loss value at those situation would be a huge distortion of facts.
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*/
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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if (stopLoss < candle.min) { stopLoss = candle.min }
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} else {
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if (stopLoss > candle.max) { stopLoss = candle.max }
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@@ -1805,9 +1666,9 @@
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let slippedStopLoss = stopLoss
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/* Apply the Slippage */
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let slippageAmount = slippedStopLoss * slippage.stopLoss / 100
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let slippageAmount = slippedStopLoss * bot.VALUES_TO_USE.slippage.stopLoss / 100
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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slippedStopLoss = slippedStopLoss + slippageAmount
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} else {
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slippedStopLoss = slippedStopLoss - slippageAmount
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@@ -1817,11 +1678,11 @@
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let feePaid = 0
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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strategy.positionSize = balanceAssetB / finalStopLoss;
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strategy.positionRate = finalStopLoss;
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feePaid = balanceAssetB / finalStopLoss * feeStructure.taker / 100
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feePaid = balanceAssetB / finalStopLoss * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceAssetA = balanceAssetA + balanceAssetB / finalStopLoss - feePaid;
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balanceAssetB = 0;
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@@ -1829,7 +1690,7 @@
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strategy.positionSize = balanceAssetA * finalStopLoss;
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strategy.positionRate = finalStopLoss;
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feePaid = balanceAssetA * finalStopLoss * feeStructure.taker / 100
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feePaid = balanceAssetA * finalStopLoss * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceAssetB = balanceAssetB + balanceAssetA * finalStopLoss - feePaid;
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balanceAssetA = 0;
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@@ -1869,7 +1730,7 @@
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/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
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if ((baseAsset === 'BTC' && candle.min <= takeProfit) || (baseAsset !== 'BTC' && candle.max >= takeProfit)) {
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if ((bot.VALUES_TO_USE.baseAsset === 'BTC' && candle.min <= takeProfit) || (bot.VALUES_TO_USE.baseAsset !== 'BTC' && candle.max >= takeProfit)) {
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/*
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Hit Point Validation:
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@@ -1878,7 +1739,7 @@
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If we take the stop loss value at those situation would be a huge distortion of facts.
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*/
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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if (takeProfit > candle.max) { takeProfit = candle.max }
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} else {
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if (takeProfit < candle.min) { takeProfit = candle.min }
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@@ -1886,9 +1747,9 @@
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let slippedTakeProfit = takeProfit
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/* Apply the Slippage */
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let slippageAmount = slippedTakeProfit * slippage.takeProfit / 100
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let slippageAmount = slippedTakeProfit * bot.VALUES_TO_USE.slippage.takeProfit / 100
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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slippedTakeProfit = slippedTakeProfit + slippageAmount
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} else {
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slippedTakeProfit = slippedTakeProfit - slippageAmount
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@@ -1898,11 +1759,11 @@
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let feePaid = 0
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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strategy.positionSize = balanceAssetB / finalTakeProfit;
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strategy.positionRate = finalTakeProfit;
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feePaid = balanceAssetB / finalTakeProfit * feeStructure.taker / 100
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feePaid = balanceAssetB / finalTakeProfit * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceAssetA = balanceAssetA + balanceAssetB / finalTakeProfit - feePaid;
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balanceAssetB = 0;
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@@ -1910,7 +1771,7 @@
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strategy.positionSize = balanceAssetA * finalTakeProfit;
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strategy.positionRate = finalTakeProfit;
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feePaid = balanceAssetA * finalTakeProfit * feeStructure.taker / 100
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feePaid = balanceAssetA * finalTakeProfit * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceAssetB = balanceAssetB + balanceAssetA * finalTakeProfit - feePaid;
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balanceAssetA = 0;
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@@ -1975,9 +1836,9 @@
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tradePositionRate = strategy.positionRate;
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/* We take what was calculated at the formula and apply the slippage. */
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let slippageAmount = tradePositionRate * slippage.positionRate / 100
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let slippageAmount = tradePositionRate * bot.VALUES_TO_USE.slippage.positionRate / 100
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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tradePositionRate = tradePositionRate - slippageAmount
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} else {
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tradePositionRate = tradePositionRate + slippageAmount
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@@ -2118,7 +1979,7 @@
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let positionDirection
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let availableBalance = assistant.getAvailableBalance()
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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positionDirection = "sell"
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openPositionRate = tradePositionRate - 100 // 100 is Provisional since we do have management of orders yet
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@@ -2217,15 +2078,15 @@
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let feePaid = 0
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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feePaid = tradePositionSize * tradePositionRate * feeStructure.taker / 100
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feePaid = tradePositionSize * tradePositionRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceAssetB = balanceAssetB + tradePositionSize * tradePositionRate - feePaid;
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balanceAssetA = balanceAssetA - tradePositionSize;
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} else {
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feePaid = tradePositionSize / tradePositionRate * feeStructure.taker / 100
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feePaid = tradePositionSize / tradePositionRate * bot.VALUES_TO_USE.feeStructure.taker / 100
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balanceAssetA = balanceAssetA + tradePositionSize / tradePositionRate - feePaid;
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balanceAssetB = balanceAssetB - tradePositionSize;
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@@ -2342,7 +2203,7 @@
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let positionDirection
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let availableBalance = assistant.getAvailableBalance()
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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positionDirection = "buy"
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closePositionRate = ticker.last + 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
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@@ -2421,16 +2282,16 @@
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}
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}
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if (baseAsset === 'BTC') {
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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lastTradeProfitLoss = balanceAssetA - previousBalanceAssetA;
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lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;
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if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
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profit = balanceAssetA - initialBalanceA;
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profit = balanceAssetA - bot.VALUES_TO_USE.initialBalanceA;
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} else {
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lastTradeProfitLoss = balanceAssetB - previousBalanceAssetB;
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lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;
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if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
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profit = balanceAssetB - initialBalanceB;
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profit = balanceAssetB - bot.VALUES_TO_USE.initialBalanceB;
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}
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if (processingDailyFiles) {
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@@ -2468,12 +2329,12 @@
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}
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}
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if (baseAsset === 'BTC') {
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ROI = (initialBalanceA + profit) / initialBalanceA - 1;
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if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
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ROI = (bot.VALUES_TO_USE.initialBalanceA + profit) / bot.VALUES_TO_USE.initialBalanceA - 1;
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hitRatio = hits / roundtrips;
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anualizedRateOfReturn = ROI / days * 365;
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} else {
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ROI = (initialBalanceB + profit) / initialBalanceB - 1;
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ROI = (bot.VALUES_TO_USE.initialBalanceB + profit) / bot.VALUES_TO_USE.initialBalanceB - 1;
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hitRatio = hits / roundtrips;
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anualizedRateOfReturn = ROI / days * 365;
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}
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@@ -2616,7 +2477,7 @@
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balanceAssetB = Number.MAX_SAFE_INTEGER
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}
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let quotedBaseAsset = '"' + baseAsset + '"'
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let quotedBaseAsset = '"' + bot.VALUES_TO_USE.baseAsset + '"'
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simulationRecord = {
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begin: candle.begin,
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@@ -2646,12 +2507,12 @@
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takeProfitPhase: takeProfitPhase,
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executionRecord: '',
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positionSize: tradePositionSize,
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initialBalanceA: initialBalanceA,
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minimumBalanceA: minimumBalanceA,
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maximumBalanceA: maximumBalanceA,
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initialBalanceB: initialBalanceB,
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minimumBalanceB: minimumBalanceB,
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maximumBalanceB: maximumBalanceB,
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initialBalanceA: bot.VALUES_TO_USE.initialBalanceA,
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minimumBalanceA: bot.VALUES_TO_USE.minimumBalanceA,
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maximumBalanceA: bot.VALUES_TO_USE.maximumBalanceA,
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initialBalanceB: bot.VALUES_TO_USE.initialBalanceB,
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minimumBalanceB: bot.VALUES_TO_USE.minimumBalanceB,
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maximumBalanceB: bot.VALUES_TO_USE.maximumBalanceB,
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baseAsset: quotedBaseAsset,
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positionPeriods: positionPeriods,
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positionDays: positionDays,
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