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Processing Events to Run Sessions

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This commit is contained in:
Luis Fernando Molina committed 2019-10-03 16:53:59 +02:00
1 parent 62b5d5c9ea
commit 3ae0c647f4
5 files changed
+75 -31
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Context.js
+3 -3
View File
@@ -304,10 +304,10 @@
thisObject.executionHistory = [];
if (global.INITIAL_BALANCE_ASSET_A === undefined || global.INITIAL_BALANCE_ASSET_B === undefined) { throw new Error("Global Variables INITIAL_BALANCE_A and INITIAL_BALANCE_B cannot be undefined.") }
if (bot.VALUES_TO_USE.initialBalanceAssetA === undefined || bot.VALUES_TO_USE.initialBalanceAssetB === undefined) { throw new Error("Global Variables INITIAL_BALANCE_A and INITIAL_BALANCE_B cannot be undefined.") }
const INITIAL_BALANCE_A = Number(global.INITIAL_BALANCE_ASSET_A);
const INITIAL_BALANCE_B = Number(global.INITIAL_BALANCE_ASSET_B);
const INITIAL_BALANCE_A = Number(bot.VALUES_TO_USE.initialBalanceAssetA);
const INITIAL_BALANCE_B = Number(bot.VALUES_TO_USE.initialBalanceAssetB);
thisObject.executionContext = {
MultiPeriod.js
+2 -2
View File
@@ -284,7 +284,7 @@
let dependencyIndex = 0;
dataFiles = [];
if (global.DEFINITION.simulationParams.timePeriod === outputPeriodLabel) {
if (bot.VALUES_TO_USE.timePeriod === outputPeriodLabel) {
currentTimePeriod = global.marketFilesPeriods[n][0];
currentOutputPeriodLabel = global.marketFilesPeriods[n][1];
}
@@ -582,7 +582,7 @@
}
}
if (global.DEFINITION.simulationParams.timePeriod === outputPeriodLabel) {
if (bot.VALUES_TO_USE.timePeriod === outputPeriodLabel) {
currentTimePeriod = global.dailyFilePeriods[n][0];
currentOutputPeriodLabel = global.dailyFilePeriods[n][1];
}
Root.js
+1
View File
@@ -174,6 +174,7 @@
botConfig.process = global.TASK_NODE.bot.processes[processIndex].code.process;
botConfig.debug = {};
botConfig.processIndex = processIndex
botConfig.processNode = global.TASK_NODE.bot.processes[processIndex]
/* Loop Counter */
TradingEngineProcessMainLoop.js
+66 -22
View File
@@ -89,14 +89,41 @@
if (FULL_LOG === true) { parentLogger.write(MODULE_NAME, "[INFO] run -> Entering function."); }
bot.enableCheckLoopHealth = true;
/* Check if there is a session */
if (bot.processNode.session === undefined) {
parentLogger.write(MODULE_NAME, "[ERROR] run -> Cannot run without a Session.");
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return;
}
/* Some initial values*/
bot.enableCheckLoopHealth = true;
let fixedTimeLoopIntervalHandle;
global.STOP_PROCESSING = true;
global.SYSTEM_EVENT_HANDLER.listenToEvent('Cockpit-Restart-Button', 'Backstesting Started', undefined, undefined, undefined, startBackTesting)
global.SYSTEM_EVENT_HANDLER.listenToEvent('Cockpit-Restart-Button', 'Live-Trading Started', undefined, undefined, undefined, startLiveTrading)
global.SYSTEM_EVENT_HANDLER.listenToEvent('Cockpit-Restart-Button', 'Stop Requested', undefined, undefined, undefined, stopRequested)
/* Listen to event to start or stop the session. */
let key = 'Session' + '-' + bot.processNode.session.id + '-' + 'Events'
global.SYSTEM_EVENT_HANDLER.listenToEvent(key, 'Run Session', undefined, undefined, undefined, runSession)
global.SYSTEM_EVENT_HANDLER.listenToEvent(key, 'Stop Session', undefined, undefined, undefined, stopSession)
function runSession(message) {
switch (bot.processNode.session.type) {
case 'Backtesting Session': {
startBackTesting(message)
break
}
case 'Live Trading Session': {
startLiveTrading(message)
break
}
}
}
function stopSession(message) {
global.STOP_PROCESSING = true
}
function startBackTesting(message) {
@@ -107,7 +134,7 @@
processConfig.framework.startDate.resumeExecution = false;
global.STOP_PROCESSING = false
bot.hasTheBotJustStarted = true
setValuesToUse()
setValuesToUse(message)
const ONE_YEAR_IN_MILISECONDS = 365 * 24 * 60 * 60 * 1000
/* If we can not get for any reason the initial date of the backtest, we will start at present time. */
@@ -182,14 +209,18 @@
bot.multiPeriodDailyProcessDatetime = processConfig.framework.startDate.fixedDate
global.STOP_PROCESSING = false
bot.hasTheBotJustStarted = true
setValuesToUse()
setValuesToUse(message)
}
function stopRequested() {
global.STOP_PROCESSING = true
}
function setValuesToUse(message) {
/*
Base on the information received we will determined which values ultimatelly are going to be used,
and once we do, they will become constants across the multiple loops executions.
*/
bot.SESSION = JSON.parse(message.event.session)
bot.VALUES_TO_USE = {}
function setValuesToUse() {
if (global.DEFINITION !== undefined) {
let tradingSystem = global.DEFINITION.tradingSystem
@@ -201,8 +232,8 @@
let code
try {
/* Default Value */
global.INITIAL_BALANCE_ASSET_B = 0.001;
global.INITIAL_BALANCE_ASSET_A = 0
bot.VALUES_TO_USE.initialBalanceAssetB = 0.001;
bot.VALUES_TO_USE.initialBalanceAssetA = 0
code = JSON.parse(tradingSystem.parameters.baseAsset.code);
@@ -216,28 +247,41 @@
if (baseAsset === 'BTC') { // NOTE: POLONIEX, the only exchange working so far, has Asset A and B inverted. We need to fix this.
if (code.initialBalance !== undefined) {
global.INITIAL_BALANCE_ASSET_B = code.initialBalance;
global.INITIAL_BALANCE_ASSET_A = 0
bot.VALUES_TO_USE.initialBalanceAssetB = code.initialBalance;
bot.VALUES_TO_USE.initialBalanceAssetA = 0
}
} else {
if (code.initialBalance !== undefined) {
global.INITIAL_BALANCE_ASSET_A = code.initialBalance;
global.INITIAL_BALANCE_ASSET_B = 0
bot.VALUES_TO_USE.initialBalanceAssetA = code.initialBalance;
bot.VALUES_TO_USE.initialBalanceAssetB = 0
}
}
} catch (err) {
global.DEFINITION.tradingSystem.parameters.baseAsset.error = err.message
global.INITIAL_BALANCE_ASSET_A = 0 // default
global.INITIAL_BALANCE_ASSET_B = 0.001 // default
bot.VALUES_TO_USE.initialBalanceAssetA = 0 // default
bot.VALUES_TO_USE.initialBalanceAssetB = 0.001 // default
}
}
/* Decide which Time Period we are going to use. If a TimePeriod is explicity defined we replace the one which was sent on simulation params.*/
/* Decide which Time Period we are going to use.*/
/* This is the last fallback */
bot.VALUES_TO_USE.timePeriod = global.DEFINITION.simulationParams.timePeriod
/* Secondary option, if exists. */
if (tradingSystem.parameters.timePeriod !== undefined) {
global.DEFINITION.simulationParams.timePeriod = tradingSystem.parameters.timePeriod.code
bot.VALUES_TO_USE.timePeriod = tradingSystem.parameters.timePeriod.code
}
/* Primary source of information, if it exists */
if (bot.SESSION !== undefined) {
if (bot.SESSION.parameters !== undefined) {
if (bot.SESSION.parameters.timePeriod !== undefined) {
bot.VALUES_TO_USE.timePeriod = bot.SESSION.parameters.timePeriod.code
}
}
}
}
}
@@ -294,10 +338,10 @@
/* Checking if we should process this loop or not.*/
if (global.STOP_PROCESSING === true) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] run -> loop -> Waiting for Backtesting or Live Trade to be started."); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] run -> loop -> Waiting for " + bot.processNode.session.type + " " + bot.processNode.session.name + " to be started."); }
console.log(new Date().toISOString() + " " + pad(bot.codeName, 20) + " " + pad(bot.process, 30)
+ " Waiting for Backtesting or Live Trade to be started. ");
+ " Waiting for " + bot.processNode.session.type + " " + bot.processNode.session.name + " to be started. ");
global.SYSTEM_EVENT_HANDLER.raiseEvent('Jason-Multi-Period', 'Process Stopped')
server.js
+3 -4
View File
@@ -71,10 +71,11 @@ if (global.TASK_NODE !== undefined) {
}
else { // I use this section to debug in standalone mode.
let argument = ' {"type":"Task","name":"Runs Backtests, Fordwardtests & Live Trades ","bot":{"type":"Trading Engine","processes":[{"type":"Process","name":"Multi Period","code":{"team":"AAMasters","bot":"AAJason","process":"Multi-Period","repo":"AAJason-Trading-Engine-Bot"},"id":"4748c8c4-4d19-4076-96b2-e9c06524fbb3"}]},"id":"561bac18-fc78-464a-90c5-79fd821fc633"}'
/* charly */ argument = '{"type":"Task","name":"Brings Trades Records from the Exchange","bot":{"type":"Sensor","name":"Charly","processes":[{"type":"Process","name":"Live Trades","code":{"team":"AAMasters","bot":"AACharly","process":"Live-Trades"},"id":"5846ebc7-1979-4a80-9cc7-94bb4b8659dc"},{"type":"Process","name":"Hole Fixing","code":{"team":"AAMasters","bot":"AACharly","process":"Hole-Fixing"},"id":"31fc4f05-75d4-419a-9fb0-73e25e856f15"}]},"id":"5bfef4dc-54c1-44db-ace6-1ab27a86746e"}'
let argument = '{"type":"Task","name":"Runs Backtests, Fordwardtests & Live Trades ","bot":{"type":"Trading Engine","processes":[{"type":"Process","subType":"Trading Engine Process","name":"Multi Period","code":{"team":"AAMasters","bot":"AAJason","process":"Multi-Period","repo":"AAJason-Trading-Engine-Bot"},"session":{"type":"Backtesting Session","name":"New Backtesting Session","parameters":{"type":"Parameters","name":"Parameters","baseAsset":{"type":"Base Asset","name":"Base Asset","code":"{ \n\"name\": \"BTC\",\n\"initialBalance\": 0.001,\n\"minimumBalance\": 0.0001,\n\"maximumBalance\": 1\n}"},"timeRange":{"type":"Time Range","name":"Time Range","code":"{\n\"initialDatetime\": \"2019-09-15T00:00:00.000Z\",\n\"finalDatetime\": \"2019-09-30T00:00:00.000Z\"\n}"},"timePeriod":{"type":"Time Period","name":"Time Period","code":"01-hs"},"slippage":{"type":"Slippage","name":"Slippage","code":"{\n\"positionRate\": 0.1,\n\"stopLoss\": 0.1,\n\"takeProfit\": 0.1\n}"},"feeStructure":{"type":"Fee Structure","name":"Fee Structure","code":"{\n\"maker\": 0.15,\n\"taker\": 0.25\n}"}},"id":"1381b048-7795-4e60-84a4-cf02e7385ba1"},"id":"072065fc-a57c-439c-94cf-f3f9c901ed37"}]},"id":"cddc97dd-ca2d-4b14-95ce-f15b6149996f"}'
/* charly argument = '{"type":"Task","name":"Brings Trades Records from the Exchange","bot":{"type":"Sensor","name":"Charly","processes":[{"type":"Process","name":"Live Trades","code":{"team":"AAMasters","bot":"AACharly","process":"Live-Trades"},"id":"5846ebc7-1979-4a80-9cc7-94bb4b8659dc"},{"type":"Process","name":"Hole Fixing","code":{"team":"AAMasters","bot":"AACharly","process":"Hole-Fixing"},"id":"31fc4f05-75d4-419a-9fb0-73e25e856f15"}]},"id":"5bfef4dc-54c1-44db-ace6-1ab27a86746e"}'
// olivia argument = '{"type":"Task","name":"Generates 1 min to 24 hs Candles & Volumes","bot":{"type":"Indicator","name":"Olivia","processes":[{"type":"Process","name":"Daily","code":{"team":"AAMasters","bot":"AAOlivia","process":"Multi-Period-Daily"},"id":"68cc8e1b-e94a-477e-82d0-15ecc9f1b9e2"},{"type":"Process","name":"Market","code":{"team":"AAMasters","bot":"AAOlivia","process":"Multi-Period-Market"},"id":"e1ac5e3d-d491-4e90-baf4-d4e5b71a8b1a"}]},"id":"efe36e05-75ea-41b5-8d92-c6b27635c834"}'
// bruce argument = ' {"type":"Task","name":"Converts Trades into 1 min Candles & Volumes","bot":{"type":"Indicator","name":"Bruce","processes":[{"type":"Process","name":"New Process","code":{"team":"AAMasters","bot":"AABruce","process":"Single-Period-Daily"},"id":"e184744f-5de0-41c1-ad4c-36960f4ced90"}]},"id":"42758590-a7bd-4712-a5c9-80a3a820c5b3"}'
*/
try {
global.TASK_NODE = JSON.parse(argument)
} catch (err) {
@@ -141,8 +142,6 @@ global.EXIT_NODE_PROCESS = function exitProcess() {
setTimeout(process.exit, 10000) // We will give 10 seconds to logs be written on file
}
let notFirstSequence = false;
/* Setting up the global Event Handler */
const EVENT_HANDLER_MODULE = require('./SystemEventHandler.js');