Improving backtest and error management
This commit is contained in:
Matias Benitez committed
1 parent
c1fe5c714a
commit
36f6e9c057
1 file changed
+119
-103
+119
-103
@@ -29,7 +29,7 @@
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] initialize -> onDone -> err = " + err.message);
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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@@ -74,23 +74,28 @@
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getChannelTilt(botDecision);
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function botDecision(err, channelTilt) {
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> botDecision -> LRC Channel Tilt:" + channelTilt); }
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function botDecision(err, channelTilt) {
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try {
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> botDecision -> LRC Channel Tilt:" + channelTilt); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> botDecision -> err = " + err.message);
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callBack(global.DEFAULT_FAIL_RESPONSE);
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} else {
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if (channelTilt == 1) {
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createBuyPosition(callBack);
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} else if (channelTilt == -1) {
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createSellPosition(callBack);
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} else {
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> botDecision -> Nothing to do, there isn't a sell or buy oportunity."); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> botDecision -> err = " + err.message);
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callBack(global.DEFAULT_FAIL_RESPONSE);
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} else {
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if (channelTilt == 1) {
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createBuyPosition(callBack);
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} else if (channelTilt == -1) {
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createSellPosition(callBack);
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} else {
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> botDecision -> Nothing to do, there isn't a sell or buy oportunity."); }
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callBack(global.DEFAULT_OK_RESPONSE);
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}
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}
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callBack(global.DEFAULT_OK_RESPONSE);
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> botDecision -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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@@ -106,23 +111,58 @@
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getLRCPointsFile(queryDate, onLRCPointsFileReceived);
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function onLRCPointsFileReceived(err, lrcPointsFile) {
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> getChannelTilt -> onLRCPointsFileReceived."); }
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try {
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> getChannelTilt -> onLRCPointsFileReceived."); }
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let lastIndexLrcPointsFile = lrcPointsFile.length - 1;
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let lastAvailableDateTime = lrcPointsFile[lastIndexLrcPointsFile][0];
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let lastIndexLrcPointsFile = lrcPointsFile.length - 1;
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let lastAvailableDateTime = lrcPointsFile[lastIndexLrcPointsFile][0];
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if (bot.processDatetime.valueOf() <= lastAvailableDateTime || !isExecutionToday()) {
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for (let i = 0; i < lrcPointsFile.length; i++) {
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if (bot.processDatetime.valueOf() >= lrcPointsFile[i][0] && bot.processDatetime.valueOf() < lrcPointsFile[i][1]) {
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if (bot.processDatetime.valueOf() <= lastAvailableDateTime || !isExecutionToday()) {
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for (let i = 0; i < lrcPointsFile.length; i++) {
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if (bot.processDatetime.valueOf() >= lrcPointsFile[i][0] && bot.processDatetime.valueOf() < lrcPointsFile[i][1]) {
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lrcPoint = {
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begin: lrcPointsFile[i][0],
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end: lrcPointsFile[i][1],
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min: lrcPointsFile[i][2],
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mid: lrcPointsFile[i][3],
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max: lrcPointsFile[i][4]
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};
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if (i >= 1) {
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let previous = i - 1;
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previousLRCPoint = {
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begin: lrcPointsFile[previous][0],
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end: lrcPointsFile[previous][1],
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min: lrcPointsFile[previous][2],
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mid: lrcPointsFile[previous][3],
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max: lrcPointsFile[previous][4]
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};
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applyBotRules();
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} else {
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queryDate.setDate(queryDate.getDate() - 1);
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getLRCPointsFile(queryDate, onPreviousLRCPointsFileReceived);
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}
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return;
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}
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}
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logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> getChannelTilt -> onLRCPointsFileReceived. The expected LRC Point was not found.");
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callBack(global.DEFAULT_FAIL_RESPONSE);
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} else {
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// Running live we will process last available LRCPoint only if it's delayed 25 minutes top
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let maxTolerance = 25 * 60 * 1000;
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if (bot.processDatetime.valueOf() <= (lastAvailableDateTime + maxTolerance)) {
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lrcPoint = {
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begin: lrcPointsFile[i][0],
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end: lrcPointsFile[i][1],
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min: lrcPointsFile[i][2],
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mid: lrcPointsFile[i][3],
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max: lrcPointsFile[i][4]
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begin: lrcPointsFile[lastIndexLrcPointsFile][0],
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end: lrcPointsFile[lastIndexLrcPointsFile][1],
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min: lrcPointsFile[lastIndexLrcPointsFile][2],
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mid: lrcPointsFile[lastIndexLrcPointsFile][3],
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max: lrcPointsFile[lastIndexLrcPointsFile][4]
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};
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if (i >= 1) {
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let previous = i - 1;
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if (lastIndexLrcPointsFile >= 1) {
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let previous = lastIndexLrcPointsFile - 1;
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previousLRCPoint = {
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begin: lrcPointsFile[previous][0],
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end: lrcPointsFile[previous][1],
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@@ -137,45 +177,15 @@
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queryDate.setDate(queryDate.getDate() - 1);
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getLRCPointsFile(queryDate, onPreviousLRCPointsFileReceived);
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}
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return;
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}
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}
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logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> getChannelTilt -> onLRCPointsFileReceived. The expected LRC Point was not found.");
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callBack(global.DEFAULT_FAIL_RESPONSE);
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} else {
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// Running live we will process last available LRCPoint only if it's delayed 5 minutes top
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let maxTolerance = 5 * 60 * 1000;
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if (bot.processDatetime.valueOf() <= (lastAvailableDateTime + maxTolerance)) {
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lrcPoint = {
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begin: lrcPointsFile[lastIndexLrcPointsFile][0],
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end: lrcPointsFile[lastIndexLrcPointsFile][1],
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min: lrcPointsFile[lastIndexLrcPointsFile][2],
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mid: lrcPointsFile[lastIndexLrcPointsFile][3],
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max: lrcPointsFile[lastIndexLrcPointsFile][4]
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};
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if (lastIndexLrcPointsFile >= 1) {
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let previous = lastIndexLrcPointsFile - 1;
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previousLRCPoint = {
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begin: lrcPointsFile[previous][0],
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end: lrcPointsFile[previous][1],
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min: lrcPointsFile[previous][2],
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mid: lrcPointsFile[previous][3],
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max: lrcPointsFile[previous][4]
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};
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applyBotRules();
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} else {
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queryDate.setDate(queryDate.getDate() - 1);
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getLRCPointsFile(queryDate, onPreviousLRCPointsFileReceived);
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}
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} else {
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if (LOG_INFO === true) logger.write(MODULE_NAME, "[WARN] start -> getChannelTilt -> onLRCPointsFileReceived. Available candle older than 5 minutes. Skeeping execution.");
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if (LOG_INFO === true) logger.write(MODULE_NAME, "[WARN] start -> getChannelTilt -> onLRCPointsFileReceived. Available candle older than 5 minutes. Skeeping execution.");
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callBack(global.DEFAULT_OK_RESPONSE, NO_CHANNEL); // TODO CUSTOM_OK_RESPONSE
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callBack(global.DEFAULT_OK_RESPONSE, NO_CHANNEL); // TODO CUSTOM_OK_RESPONSE
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> getChannelTilt -> onLRCPointsFileReceived -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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@@ -207,20 +217,20 @@
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}
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function applyBotRules() {
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> LRC Point Found: " + JSON.stringify(lrcPoint)); }
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> LRC Point Found."); }
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let channelTilt = NO_CHANNEL;
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let ruleApplied = "";
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if (lrcPoint.mid < lrcPoint.mid && lrcPoint.min > lrcPoint.mid && lrcPoint.mid < lrcPoint.min) {
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if (lrcPoint.min > previousLRCPoint.min && lrcPoint.mid > previousLRCPoint.mid && lrcPoint.mid > previousLRCPoint.max) {
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if (lrcPoint.max < lrcPoint.mid && lrcPoint.min > lrcPoint.mid && lrcPoint.mid < lrcPoint.min) {
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if (lrcPoint.min > previousLRCPoint.min && lrcPoint.mid > previousLRCPoint.mid && lrcPoint.max > previousLRCPoint.max) {
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channelTilt = CHANNEL_UP; // The channel points UP
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ruleApplied += "Rule_1.";
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}
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}
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if (lrcPoint.min < lrcPoint.mid && lrcPoint.mid > lrcPoint.mid && lrcPoint.mid < lrcPoint.mid) {
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if (lrcPoint.min < previousLRCPoint.min && lrcPoint.mid < previousLRCPoint.mid && lrcPoint.mid < previousLRCPoint.max) {
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if (lrcPoint.min < lrcPoint.mid && lrcPoint.max > lrcPoint.mid && lrcPoint.mid < lrcPoint.max) {
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if (lrcPoint.min < previousLRCPoint.min && lrcPoint.mid < previousLRCPoint.mid && lrcPoint.max < previousLRCPoint.max) {
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channelTilt = CHANNEL_DOWN; // The channel points DOWN
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ruleApplied += "Rule_2.";
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}
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@@ -238,7 +248,7 @@
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ruleApplied += "Rule_3b.";
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}
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let logMessage = bot.processDatetime.toISOString() + "\t" + ruleApplied + "\t" + channelTilt + "\t" + lrcPoint.min + "\t" + lrcPoint.mid + "\t" + lrcPoint.mid;
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let logMessage = bot.processDatetime.toISOString() + "\t" + ruleApplied + "\t" + channelTilt + "\t" + lrcPoint.min + "\t" + lrcPoint.mid + "\t" + lrcPoint.max;
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> Results: " + logMessage); }
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callBack(global.DEFAULT_OK_RESPONSE, channelTilt);
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@@ -246,33 +256,27 @@
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}
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function getLRCPointsFile(dateTime, callback) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> getLRCPointsFile -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> getLRCPointsFile -> Entering function."); }
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let periodName = "30-min";
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let datePath = dateTime.getUTCFullYear() + "/" + pad(dateTime.getUTCMonth() + 1, 2) + "/" + pad(dateTime.getUTCDate(), 2);
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let filePath = "LRC-Points/Multi-Period-Daily/" + periodName + "/" + datePath;
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let fileName = market.assetA + '_' + market.assetB + ".json"
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let periodName = "30-min";
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let datePath = dateTime.getUTCFullYear() + "/" + pad(dateTime.getUTCMonth() + 1, 2) + "/" + pad(dateTime.getUTCDate(), 2);
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let filePath = "LRC-Points/Multi-Period-Daily/" + periodName + "/" + datePath;
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let fileName = market.assetA + '_' + market.assetB + ".json"
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gaussStorage.getTextFile(filePath, fileName, onFileReceived);
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gaussStorage.getTextFile(filePath, fileName, onFileReceived);
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function onFileReceived(err, text) {
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if (err.result === global.DEFAULT_OK_RESPONSE.result) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> getLRCPointsFile -> onFileReceived > Entering Function."); }
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function onFileReceived(err, text) {
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if (err.result === global.DEFAULT_OK_RESPONSE.result) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> getLRCPointsFile -> onFileReceived > Entering Function."); }
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let lrcPointsFile = JSON.parse(text);
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callback(global.DEFAULT_OK_RESPONSE, lrcPointsFile);
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} else {
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logger.write(MODULE_NAME, "[ERROR] start -> getChannelTilt -> getLRCPointsFile -> onFileReceived -> Failed to get the file. Will abort the process and request a retry.");
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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return;
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> getChannelTilt -> getLRCPointsFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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let lrcPointsFile = JSON.parse(text);
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callback(global.DEFAULT_OK_RESPONSE, lrcPointsFile);
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} else {
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logger.write(MODULE_NAME, "[ERROR] start -> getChannelTilt -> getLRCPointsFile -> onFileReceived -> Failed to get the file. Will abort the process and request a retry.");
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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return;
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}
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}
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}
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function createBuyPosition(callBack) {
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@@ -284,11 +288,11 @@
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let amountA = assistant.getAvailableBalance().assetA;
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let amountB = amountA / currentRate;
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if(positions.length > 0 && positions[0].type === "buy" && (bot.processDatetime.valueOf() - positions[0].date) > (60000 * 5)){
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if (positions.length > 0 && positions[0].type === "buy" && positions[0].status !== "executed" && (bot.processDatetime.valueOf() - positions[0].date) > (60000 * 15)){
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assistant.movePosition(positions[0], currentRate, callBack);
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> createBuyPosition -> Artuditu is moving an existing position to a new rate: " + currentRate.toFixed(8) + ". Position: " + JSON.stringify(positions[0])); }
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> createBuyPosition -> Artuditu is moving an existing position to a new rate: " + currentRate.toFixed(8)); }
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let message = "I'm moving an existing buy position to a new rate: " + currentRate.toFixed(8);
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assistant.sendMessage(1, "Moving Position", message);
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@@ -297,8 +301,14 @@
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} else if(assetABalance > 0){
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assistant.putPosition("buy", currentRate, amountA, amountB, callBack);
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let message = "I'm creating a new buy position at rate: " + currentRate.toFixed(8) + ". " + MARKET.assetA +" amount: " + amountA.toFixed(8) + ". " + MARKET.assetB + " amount: " + amountB.toFixed(8);
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let profitA = 0;
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let profitB = 0;
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if (assistant.getProfits() !== undefined) {
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profitA = assistant.getProfits().assetA.toFixed(8);
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profitB = assistant.getProfits().assetB.toFixed(8);
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}
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let message = "I'm creating a new buy position at rate: " + currentRate.toFixed(8) + ". Profits on this execution: " + MARKET.assetA + ": " + profitA + ". " + MARKET.assetB + ": " + profitB;
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assistant.sendMessage(1, "Buying", message);
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} else {
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@@ -317,11 +327,11 @@
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let amountB = assistant.getAvailableBalance().assetB;
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let amountA = amountB * currentRate;
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if(positions.length > 0 && positions[0].type === "sell" && (bot.processDatetime.valueOf() - positions[0].date) > (60000 * 5)){
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if (positions.length > 0 && positions[0].type === "sell" && positions[0].status !== "executed" && (bot.processDatetime.valueOf() - positions[0].date) > (60000 * 15)){
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assistant.movePosition(positions[0], currentRate, callBack);
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> createBuyPosition -> Artuditu is moving an existing position to a new rate: " + currentRate.toFixed(8) + ". Position: " + JSON.stringify(positions[0])); }
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> createBuyPosition -> Artuditu is moving an existing position to a new rate: " + currentRate.toFixed(8)); }
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let message = "I'm moving an existing sell position to a new rate: " + currentRate.toFixed(8);
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assistant.sendMessage(1, "Moving Position", message);
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@@ -329,10 +339,16 @@
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}else if(assetBBalance > 0){
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assistant.putPosition("sell", currentRate, amountA, amountB, callBack);
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if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> createSellPosition -> Artuditu put a new SELL Position at rate: " + currentRate + ". Amount traded asset A: " + amountA + ". Amount traded asset B: " + amountB); }
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let message = "I'm creating a new sell position at rate: " + currentRate.toFixed(8) + ". " + MARKET.assetA +" amount: " + amountA.toFixed(8) + ". " + MARKET.assetB + " amount: " + amountB.toFixed(8);
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let profitA = 0;
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let profitB = 0;
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if (assistant.getProfits() !== undefined) {
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profitA = assistant.getProfits().assetA.toFixed(8);
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profitB = assistant.getProfits().assetB.toFixed(8);
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}
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let message = "I'm creating a new sell position at rate: " + currentRate.toFixed(8) + ". Profits on this execution: " + MARKET.assetA + ": " + profitA + " " + MARKET.assetB + ": " + profitB;
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assistant.sendMessage(1, "Selling", message);
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} else {
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