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Trading Simulation consuming indicators with new scheme

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This commit is contained in:
Luis Fernando Molina committed 2019-11-20 12:04:22 +01:00
1 parent 0fb685a34f
commit 3a25feef88
8 files changed
+3004 -84
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Commons.js
+5 -2
View File
@@ -164,6 +164,7 @@
*/
let jsonifiedArray = []
let previous;
for (let i = 0; i < dataFile.length; i++) {
@@ -175,7 +176,9 @@
}
}
record.previous = previous;
jsonifiedArray.push(record);
previous = record;
}
return jsonifiedArray
@@ -405,7 +408,7 @@
}
}
function writeFile(contextSummary, fileContent, anotherFileWritten, processingDailyFiles, outputPeriodLabel, callBackFunction) {
function writeFile(contextSummary, fileContent, anotherFileWritten, processingDailyFiles, timePeriodLabel, callBackFunction) {
try {
@@ -420,7 +423,7 @@
}
let filePathRoot = contextSummary.devTeam + "/" + contextSummary.bot + "." + contextSummary.botVersion.major + "." + contextSummary.botVersion.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + contextSummary.dataSetVersion;
let filePath = filePathRoot + "/Output/" + contextSummary.product + "/" + contextSummary.dataset + "/" + outputPeriodLabel + dateForPath;
let filePath = filePathRoot + "/Output/" + contextSummary.product + "/" + contextSummary.dataset + "/" + timePeriodLabel + dateForPath;
filePath += '/' + fileName
fileStorage.createTextFile(contextSummary.devTeam, filePath, fileContent + '\n', onFileCreated);
IndicatorBot.js
+2 -2
View File
@@ -44,7 +44,7 @@
}
}
function start(dataFiles, timePeriod, outputPeriodLabel, currentDay, interExecutionMemory, callBackFunction) {
function start(dataFiles, timePeriod, timePeriodLabel, currentDay, interExecutionMemory, callBackFunction) {
try {
@@ -133,7 +133,7 @@
contextSummary.dataSetVersion = "dataSet.V1"
let fileContent = commons.generateFileContent(outputData, outputDatasetNode.referenceParent.parentNode.record, resultsWithIrregularPeriods, processingDailyFiles, callBackFunction)
commons.writeFile(contextSummary, fileContent, anotherFileWritten, processingDailyFiles, outputPeriodLabel, callBackFunction)
commons.writeFile(contextSummary, fileContent, anotherFileWritten, processingDailyFiles, timePeriodLabel, callBackFunction)
}
MultiPeriod.js
+10 -10
View File
@@ -63,7 +63,7 @@
let USER_BOT_MODULE = require("./TradingBot")
botInstance = USER_BOT_MODULE.newTradingBot(bot, logger, UTILITIES, FILE_STORAGE);
botInstance.initialize(callBackFunction);
botInstance.initialize(pAssistant, callBackFunction);
} catch (err) {
logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
@@ -284,12 +284,12 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsMarketFiles -> periodsLoopBody -> Entering function."); }
const timePeriod = global.marketFilesPeriods[n][0];
const outputPeriodLabel = global.marketFilesPeriods[n][1];
const timePeriodLabel = global.marketFilesPeriods[n][1];
let dependencyIndex = 0;
dataFiles = new Map();
if (bot.VALUES_TO_USE.timePeriod === outputPeriodLabel) {
if (bot.VALUES_TO_USE.timePeriod === timePeriodLabel) {
currentTimePeriod = global.marketFilesPeriods[n][0];
currentOutputPeriodName = global.marketFilesPeriods[n][1];
}
@@ -320,7 +320,7 @@
return
}
let filePath = dependency.product + '/' + dependency.dataSet + "/" + outputPeriodLabel;
let filePath = dependency.product + '/' + dependency.dataSet + "/" + timePeriodLabel;
dataset.getTextFile(filePath, fileName, onFileReceived);
@@ -575,22 +575,22 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> Entering function."); }
const timePeriod = global.dailyFilePeriods[n][0];
const outputPeriodLabel = global.dailyFilePeriods[n][1];
const timePeriodLabel = global.dailyFilePeriods[n][1];
if (processConfig.framework.validPeriods !== undefined) {
let validPeriod = false;
for (let i = 0; i < processConfig.framework.validPeriods.length; i++) {
let period = processConfig.framework.validPeriods[i];
if (period === outputPeriodLabel) { validPeriod = true }
if (period === timePeriodLabel) { validPeriod = true }
}
if (validPeriod === false) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> Discarding period for not being listed as a valid period. -> outputPeriodLabel = " + outputPeriodLabel); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> periodsLoopBody -> Discarding period for not being listed as a valid period. -> timePeriodLabel = " + timePeriodLabel); }
periodsControlLoop();
return;
}
}
if (bot.VALUES_TO_USE.timePeriod === outputPeriodLabel) {
if (bot.VALUES_TO_USE.timePeriod === timePeriodLabel) {
currentTimePeriod = global.dailyFilePeriods[n][0];
currentOutputPeriodName = global.dailyFilePeriods[n][1];
}
@@ -634,7 +634,7 @@
let filePath
if (dependency.dataSet === "Multi-Period-Daily") {
filePath = dependency.product + '/' + dependency.dataSet + "/" + outputPeriodLabel + "/" + dateForPath;
filePath = dependency.product + '/' + dependency.dataSet + "/" + timePeriodLabel + "/" + dateForPath;
} else {
filePath = dependency.product + '/' + dependency.dataSet + "/" + dateForPath;
}
@@ -710,7 +710,7 @@
let dateForPath = bot.multiPeriodProcessDatetime.getUTCFullYear() + '/' + utilities.pad(bot.multiPeriodProcessDatetime.getUTCMonth() + 1, 2) + '/' + utilities.pad(bot.multiPeriodProcessDatetime.getUTCDate(), 2);
let filePath
if (dependency.dataSet === "Multi-Period-Daily") {
filePath = dependency.product + '/' + dependency.dataSet + "/" + outputPeriodLabel + "/" + dateForPath;
filePath = dependency.product + '/' + dependency.dataSet + "/" + timePeriodLabel + "/" + dateForPath;
} else {
filePath = dependency.product + '/' + dependency.dataSet + "/" + dateForPath;
}
MultiPeriodDaily.js
+7 -7
View File
@@ -370,16 +370,16 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> periodsLoopBody -> Entering function."); }
const timePeriod = global.dailyFilePeriods[n][0];
const outputPeriodLabel = global.dailyFilePeriods[n][1];
const timePeriodLabel = global.dailyFilePeriods[n][1];
if (processConfig.framework.validPeriods !== undefined) {
let validPeriod = false;
for (let i = 0; i < processConfig.framework.validPeriods.length; i++) {
let period = processConfig.framework.validPeriods[i];
if (period === outputPeriodLabel) { validPeriod = true }
if (period === timePeriodLabel) { validPeriod = true }
}
if (validPeriod === false) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> periodsLoopBody -> Discarding period for not being listed as a valid period. -> outputPeriodLabel = " + outputPeriodLabel); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> periodsLoopBody -> Discarding period for not being listed as a valid period. -> timePeriodLabel = " + timePeriodLabel); }
periodsControlLoop();
return;
}
@@ -418,7 +418,7 @@
let dateForPath = previousDay.getUTCFullYear() + '/' + utilities.pad(previousDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(previousDay.getUTCDate(), 2);
let filePath
if (dependency.dataSet === "Multi-Period-Daily") {
filePath = dependency.product + '/' + dependency.dataSet + "/" + outputPeriodLabel + "/" + dateForPath;
filePath = dependency.product + '/' + dependency.dataSet + "/" + timePeriodLabel + "/" + dateForPath;
} else {
filePath = dependency.product + '/' + dependency.dataSet + "/" + dateForPath;
}
@@ -488,7 +488,7 @@
let dateForPath = bot.multiPeriodDailyProcessDatetime.getUTCFullYear() + '/' + utilities.pad(bot.multiPeriodDailyProcessDatetime.getUTCMonth() + 1, 2) + '/' + utilities.pad(bot.multiPeriodDailyProcessDatetime.getUTCDate(), 2);
let filePath
if (dependency.dataSet === "Multi-Period-Daily") {
filePath = dependency.product + '/' + dependency.dataSet + "/" + outputPeriodLabel + "/" + dateForPath;
filePath = dependency.product + '/' + dependency.dataSet + "/" + timePeriodLabel + "/" + dateForPath;
} else {
filePath = dependency.product + '/' + dependency.dataSet + "/" + dateForPath;
}
@@ -586,12 +586,12 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> periodsLoopBody -> callTheBot -> Entering function."); }
const timePeriod = global.dailyFilePeriods[n][0];
const outputPeriodLabel = global.dailyFilePeriods[n][1];
const timePeriodLabel = global.dailyFilePeriods[n][1];
botInstance.start(
dataFiles,
timePeriod,
outputPeriodLabel,
timePeriodLabel,
bot.multiPeriodDailyProcessDatetime,
interExecutionMemoryArray[n],
onBotFinished);
MultiPeriodMarket.js
+4 -4
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@@ -148,7 +148,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> periodsLoopBody -> Entering function."); }
const timePeriod = global.marketFilesPeriods[n][0];
const outputPeriodLabel = global.marketFilesPeriods[n][1];
const timePeriodLabel = global.marketFilesPeriods[n][1];
let dependencyIndex = 0;
dataFiles = new Map;
@@ -177,7 +177,7 @@
let filePath
if (dependency.dataSet === "Multi-Period-Market") {
filePath = dependency.product + '/' + dependency.dataSet + "/" + outputPeriodLabel;
filePath = dependency.product + '/' + dependency.dataSet + "/" + timePeriodLabel;
} else {
filePath = dependency.product + '/' + dependency.dataSet + "/" + dateForPath;
}
@@ -253,12 +253,12 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> periodsLoopBody -> callTheBot -> Entering function."); }
const timePeriod = global.marketFilesPeriods[n][0];
const outputPeriodLabel = global.marketFilesPeriods[n][1];
const timePeriodLabel = global.marketFilesPeriods[n][1];
botInstance.start(
dataFiles,
timePeriod,
outputPeriodLabel,
timePeriodLabel,
undefined,
undefined,
onBotFinished);
Project.njsproj
+3
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@@ -55,6 +55,9 @@
<Compile Include="TradingBotProcessMainLoop.js">
<SubType>Code</SubType>
</Compile>
<Compile Include="TradingSimulation.js">
<SubType>Code</SubType>
</Compile>
<Compile Include="utils\logger.js">
<SubType>Code</SubType>
</Compile>
TradingBot.js
+80 -59
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@@ -18,6 +18,8 @@
const COMMONS = require('./Commons.js');
let commons = COMMONS.newCommons(bot, logger, UTILITIES, FILE_STORAGE);
let assistant;
return thisObject;
function finalize() {
@@ -27,7 +29,7 @@
commons = undefined
}
function initialize(callBackFunction) {
function initialize(pAssistant, callBackFunction) {
try {
@@ -36,6 +38,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
assistant = pAssistant;
callBackFunction(global.DEFAULT_OK_RESPONSE);
} catch (err) {
@@ -44,7 +47,7 @@
}
}
function start(multiPeriodDataFiles, timePeriod, outputPeriodLabel, currentDay, interExecutionMemory, callBackFunction) {
function start(multiPeriodDataFiles, timePeriod, timePeriodLabel, currentDay, interExecutionMemory, callBackFunction) {
try {
@@ -100,73 +103,91 @@
}
}
/* During the third phase, we need to generate the data of the different products this process produces an output */
for (let i = 0; i < outputDatasets.length; i++) {
const TRADING_SIMULATION = require('./TradingSimulation.js');
let tradingSimulation = TRADING_SIMULATION.newTradingSimulation(bot, logger, UTILITIES);
let outputDatasetNode = outputDatasets[i]
let jsonData // Just build data as Json objects
let outputData // Data built as a result of applying user defined code and formulas at the Data Building Procedure
let singularVariableName // Name of the variable for this product
let recordDefinition // Record as defined by the user at the UI
let fileContent // Here we store the contents of the new data built just before writing it to a file.
let resultsWithIrregularPeriods // A product will have irregular periods when the User Code inserts new result records at will, in contrast with normal procedure where the platform insert one record per loop execution.
tradingSimulation.runSimulation(
chart,
dataDependencies,
timePeriod,
timePeriodLabel,
currentDay,
interExecutionMemory,
assistant,
onSimulationFinished,
callBackFunction)
/*
For each outputDatasetNode in our process output, we will build the information based on our input products.
*/
recordDefinition = outputDatasetNode.referenceParent.parentNode.record
singularVariableName = outputDatasetNode.referenceParent.parentNode.code.singularVariableName
function onSimulationFinished() {
console.log("Finished")
/* Check Irregular Periods */
if (outputDatasetNode.referenceParent.parentNode.dataBuilding.loop.code.code.indexOf('results.push') >= 0) {
resultsWithIrregularPeriods = true
/* During the third phase, we need to generate the data of the different products this process produces an output */
for (let i = 0; i < outputDatasets.length; i++) {
let outputDatasetNode = outputDatasets[i]
let jsonData // Just build data as Json objects
let outputData // Data built as a result of applying user defined code and formulas at the Data Building Procedure
let singularVariableName // Name of the variable for this product
let recordDefinition // Record as defined by the user at the UI
let fileContent // Here we store the contents of the new data built just before writing it to a file.
let resultsWithIrregularPeriods // A product will have irregular periods when the User Code inserts new result records at will, in contrast with normal procedure where the platform insert one record per loop execution.
/*
For each outputDatasetNode in our process output, we will build the information based on our input products.
*/
recordDefinition = outputDatasetNode.referenceParent.parentNode.record
singularVariableName = outputDatasetNode.referenceParent.parentNode.code.singularVariableName
/* Check Irregular Periods */
if (outputDatasetNode.referenceParent.parentNode.dataBuilding.loop.code.code.indexOf('results.push') >= 0) {
resultsWithIrregularPeriods = true
}
/* Build the data */
jsonData = commons.dataBuildingProcedure(products, mainDependency, recordDefinition, outputDatasetNode.referenceParent.parentNode.dataBuilding, singularVariableName, timePeriod, resultsWithIrregularPeriods)
/* Add the calculated properties */
if (outputDatasetNode.referenceParent.parentNode.calculations !== undefined) {
outputData = commons.calculationsProcedure(jsonData, recordDefinition, outputDatasetNode.referenceParent.parentNode.calculations, singularVariableName, timePeriod)
} else {
outputData = jsonData
}
products[outputDatasetNode.referenceParent.parentNode.code.pluralVariableName] = outputData
}
/* Build the data */
jsonData = commons.dataBuildingProcedure(products, mainDependency, recordDefinition, outputDatasetNode.referenceParent.parentNode.dataBuilding, singularVariableName, timePeriod, resultsWithIrregularPeriods)
/*At the fourth and last phase, we will save the new information generated into files corresponding to each output outputDatasetNode.*/
let totalFilesWritten = 0
for (let i = 0; i < outputDatasets.length; i++) {
let outputDatasetNode = outputDatasets[i]
let outputData = products[outputDatasetNode.referenceParent.parentNode.code.pluralVariableName]
let resultsWithIrregularPeriods // A product will have irregular periods when the User Code inserts new result records at will, in contrast with normal procedure where the platform insert one record per loop execution.
let contextSummary = {}
/* Add the calculated properties */
if (outputDatasetNode.referenceParent.parentNode.calculations !== undefined) {
outputData = commons.calculationsProcedure(jsonData, recordDefinition, outputDatasetNode.referenceParent.parentNode.calculations, singularVariableName, timePeriod)
} else {
outputData = jsonData
/* Check Irregular Periods */
if (outputDatasetNode.referenceParent.parentNode.dataBuilding.loop.code.code.indexOf('results.push') >= 0) {
resultsWithIrregularPeriods = true
}
/* Simplifying the access to basic info */
contextSummary.dataset = outputDatasetNode.referenceParent.code.codeName
contextSummary.product = outputDatasetNode.referenceParent.parentNode.code.codeName
contextSummary.bot = outputDatasetNode.referenceParent.parentNode.parentNode.code.codeName
contextSummary.devTeam = outputDatasetNode.referenceParent.parentNode.parentNode.parentNode.code.codeName
/* This stuff is still hardcoded and unresolved. */
contextSummary.botVersion = {
"major": 1,
"minor": 0
}
contextSummary.dataSetVersion = "dataSet.V1"
let fileContent = commons.generateFileContent(outputData, outputDatasetNode.referenceParent.parentNode.record, resultsWithIrregularPeriods, processingDailyFiles, callBackFunction)
commons.writeFile(contextSummary, fileContent, anotherFileWritten, processingDailyFiles, timePeriodLabel, callBackFunction)
}
products[outputDatasetNode.referenceParent.parentNode.code.pluralVariableName] = outputData
}
/*At the fourth and last phase, we will save the new information generated into files corresponding to each output outputDatasetNode.*/
let totalFilesWritten = 0
for (let i = 0; i < outputDatasets.length; i++) {
let outputDatasetNode = outputDatasets[i]
let outputData = products[outputDatasetNode.referenceParent.parentNode.code.pluralVariableName]
let resultsWithIrregularPeriods // A product will have irregular periods when the User Code inserts new result records at will, in contrast with normal procedure where the platform insert one record per loop execution.
let contextSummary = {}
/* Check Irregular Periods */
if (outputDatasetNode.referenceParent.parentNode.dataBuilding.loop.code.code.indexOf('results.push') >= 0) {
resultsWithIrregularPeriods = true
}
/* Simplifying the access to basic info */
contextSummary.dataset = outputDatasetNode.referenceParent.code.codeName
contextSummary.product = outputDatasetNode.referenceParent.parentNode.code.codeName
contextSummary.bot = outputDatasetNode.referenceParent.parentNode.parentNode.code.codeName
contextSummary.devTeam = outputDatasetNode.referenceParent.parentNode.parentNode.parentNode.code.codeName
/* This stuff is still hardcoded and unresolved. */
contextSummary.botVersion = {
"major": 1,
"minor": 0
}
contextSummary.dataSetVersion = "dataSet.V1"
let fileContent = commons.generateFileContent(outputData, outputDatasetNode.referenceParent.parentNode.record, resultsWithIrregularPeriods, processingDailyFiles, callBackFunction)
commons.writeFile(contextSummary, fileContent, anotherFileWritten, processingDailyFiles, outputPeriodLabel, callBackFunction)
}
function anotherFileWritten() {
totalFilesWritten++
if (totalFilesWritten === outputDatasets.length) {
TradingSimulation.js
+2893
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