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Merge pull request #386 from Luis-Fernando-Molina/develop

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Bug Fix #330, error when using .previous in conditions at midnight
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Luis Fernando Molina authored and GitHub committed 2021-01-16 12:28:26 +01:00
2 parents 36d3812557 bbd8578027
commit 3c7a3fff45
2 files changed
+54 -28
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Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingProcess.js
+33 -25
View File
@@ -87,7 +87,8 @@
This variable tell us which day we are standing at, specially while working
with Daily Files. From this Date is that we are going to load the Daily Files.
*/
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value = TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters.timeRange.config.initialDatetime).valueOf()
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value =
TS.projects.superalgos.utilities.dateTimeFunctions.removeTime(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters.timeRange.config.initialDatetime).valueOf()
}
/*
@@ -483,35 +484,47 @@
continue
}
/*
If it is not a dependency then we pass..
*/
if (dataDependenciesModule.isItADepenency(timeFrameLabel, datasetModule.node.parentNode.config.singularVariableName) !== true) {
if (!(TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters.timeFrame.config.label === timeFrameLabel && datasetModule.node.parentNode.config.pluralVariableName === 'candles')) {
continue
}
}
let dateForPath = tradingProcessDate.getUTCFullYear() + '/' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(tradingProcessDate.getUTCMonth() + 1, 2) + '/' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(tradingProcessDate.getUTCDate(), 2);
let filePath
if (dependency.referenceParent.config.codeName === "Multi-Period-Daily") {
filePath = dependency.referenceParent.parentNode.config.codeName + '/' + dependency.referenceParent.config.codeName + "/" + timeFrameLabel + "/" + dateForPath;
} else {
filePath = dependency.referenceParent.parentNode.config.codeName + '/' + dependency.referenceParent.config.codeName + "/" + dateForPath;
}
let fileName = "Data.json";
/*
We will need to fetch the data of the current day and the previous day, in order for .previous properties in conditions and formulas to work well.
*/
let previousDate = new Date(tradingProcessDate.valueOf() - TS.projects.superalgos.globals.timeConstants.ONE_DAY_IN_MILISECONDS)
let currentDate = new Date(tradingProcessDate.valueOf())
/* We cut the async calls via callBacks at this point, so as to have a clearer code upstream */
let response = await asyncGetDatasetFile(datasetModule, filePath, fileName)
let previousFile = await getDataFileFromDate(previousDate)
if (previousFile === false) { return false }
let currentFile = await getDataFileFromDate(currentDate)
if (currentFile === false) { return false }
let bothFiles = previousFile.concat(currentFile)
dataFiles.set(dependency.id, bothFiles)
if (response.err.message === 'File does not exist.') {
return false
}
if (response.err.result !== TS.projects.superalgos.globals.standardResponses.DEFAULT_OK_RESPONSE.result) {
throw (response.err)
}
async function getDataFileFromDate(processDate) {
let dataFile = JSON.parse(response.text);
dataFiles.set(dependency.id, dataFile);
let dateForPath = processDate.getUTCFullYear() + '/' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(processDate.getUTCMonth() + 1, 2) + '/' + TS.projects.superalgos.utilities.miscellaneousFunctions.pad(processDate.getUTCDate(), 2);
let filePath = dependency.referenceParent.parentNode.config.codeName + '/' + dependency.referenceParent.config.codeName + "/" + timeFrameLabel + "/" + dateForPath
let fileName = "Data.json";
/* We cut the async calls via callBacks at this point, so as to have a clearer code upstream */
let response = await asyncGetDatasetFile(datasetModule, filePath, fileName)
if (response.err.message === 'File does not exist.') {
return false
}
if (response.err.result !== TS.projects.superalgos.globals.standardResponses.DEFAULT_OK_RESPONSE.result) {
throw (response.err)
}
return JSON.parse(response.text)
}
}
let mapKey = TS.projects.superalgos.globals.timeFrames.dailyFilePeriods()[n][1];
multiPeriodDataFiles.set(mapKey, dataFiles)
}
@@ -757,11 +770,6 @@
}
}
function pad(str, max) {
str = str.toString();
return str.length < max ? pad(" " + str, max) : str;
}
async function asyncGetDatasetFile(datasetModule, filePath, fileName) {
let promise = new Promise((resolve, reject) => {
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingSimulation.js
+21 -3
View File
@@ -45,6 +45,23 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
let propertyName = 'at' + sessionParameters.timeFrame.config.label.replace('-', '')
let candles = chart[propertyName].candles
if (TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).TRADING_PROCESSING_DAILY_FILES) {
/*
We need to purge from the candles array all the candles from the previous day
that comes when processing daily files.
*/
let dailyCandles = []
for (let i = 0; i < candles.length; i++) {
let candle = candles[i]
if (candle.begin >= TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine.current.episode.processDate.value) {
dailyCandles.push(candle)
}
}
candles = dailyCandles
} else {
candles = chart[propertyName].candles
}
/* Variables needed for heartbeat functionality */
let heartBeatDate
let previousHeartBeatDate
@@ -55,7 +72,8 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
if (
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_FIRST_LOOP === true &&
TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).IS_SESSION_RESUMING === false) {
/* Estimate Initial Candle based on the timeRage configured for the session. */
/* Estimate Initial Candle based on the timeRange configured for the session. */
let firstEnd = candles[0].end
let targetEnd = sessionParameters.timeRange.config.initialDatetime
let diff = targetEnd - firstEnd
@@ -73,8 +91,8 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
'[IMPORTANT] runSimulation -> Data is not up-to-date enough. Stopping the Session now. ')
return
}
} else {
} else {
/*
In this case we already have at the last candle index the next candle to be
processed. We will just continue with this candle.
@@ -545,7 +563,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex) {
return true
}
} catch (err) {
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE_OBJECT.write(MODULE_NAME,
'[ERROR] runSimulation -> err = ' + err.stack)
throw (TS.projects.superalgos.globals.standardResponses.DEFAULT_FAIL_RESPONSE)
}