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bug fixed

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This commit is contained in:
Luis Fernando Molina committed 2020-06-18 11:37:08 +02:00
1 parent d5b1aaded5
commit 4281ec7ae9
4 files changed
+17 -17
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LowFrequencyTrading/TradingEngine.js
+5 -5
View File
@@ -193,7 +193,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
/* We take what was calculated at the formula and apply the slippage. */
let slippageAmount = tradingEngine.current.position.rate.value * bot.SESSION.parameters.slippage.config.positionRate / 100
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value - slippageAmount
} else {
tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value + slippageAmount
@@ -216,7 +216,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
let feePaid = 0
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid
@@ -242,7 +242,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
let feePaid = 0
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
@@ -256,7 +256,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
tradingEngine.current.balance.baseAsset.value = 0
}
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.previous.balance.baseAsset.value
tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
@@ -276,7 +276,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
tradingEngine.episode.episodeCounters.fails.value++
}
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionBaseAsset.config.initialBalance - 1
tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
LowFrequencyTrading/TradingExecution.js
+2 -2
View File
@@ -131,7 +131,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
let amountB
let orderSide
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
orderSide = 'sell'
orderPrice = tradingEngine.current.position.rate.value
@@ -257,7 +257,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
let amountB
let orderSide
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
orderSide = 'buy'
orderPrice = ticker.last + 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
LowFrequencyTrading/TradingSimulation.js
+1 -1
View File
@@ -417,7 +417,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
let maximumBalance
let balance
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
balance = tradingEngine.current.balance.baseAsset.value
minimumBalance = sessionParameters.sessionBaseAsset.config.minimumBalance
maximumBalance = sessionParameters.sessionBaseAsset.config.maximumBalance
LowFrequencyTrading/TradingSystem.js
+9 -9
View File
@@ -719,8 +719,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
if (
(sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value) ||
(sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.stopLoss.value)
(sessionParameters.sessionBaseAsset.name === bot.market.baseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value) ||
(sessionParameters.sessionBaseAsset.name !== bot.market.baseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.stopLoss.value)
) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.') }
/*
@@ -729,7 +729,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
This prevents misscalculations when a formula places the stop loss in this case way beyond the market price.
If we take the stop loss value at those situation would be a huge distortion of facts.
*/
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (tradingEngine.current.position.stopLoss.value < tradingEngine.current.candle.min.value) {
tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.min.value
}
@@ -744,7 +744,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
/* Apply the Slippage */
let slippageAmount = slippedStopLoss * bot.SESSION.parameters.slippage.config.stopLoss / 100
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
slippedStopLoss = slippedStopLoss + slippageAmount
} else {
slippedStopLoss = slippedStopLoss - slippageAmount
@@ -766,8 +766,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
if (
(sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value) ||
(sessionParameters.sessionBaseAsset.name !== bot.market.marketBaseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.takeProfit.value)
(sessionParameters.sessionBaseAsset.name === bot.market.baseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value) ||
(sessionParameters.sessionBaseAsset.name !== bot.market.baseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.takeProfit.value)
) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.') }
/*
@@ -776,7 +776,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
This prevents misscalculations when a formula places the take profit in this case way beyond the market price.
If we take the stop loss value at those situation would be a huge distortion of facts.
*/
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (tradingEngine.current.position.takeProfit.value > tradingEngine.current.candle.max.value) {
tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.max.value
}
@@ -790,7 +790,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
/* Apply the Slippage */
let slippageAmount = slippedTakeProfit * bot.SESSION.parameters.slippage.config.takeProfit / 100
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
slippedTakeProfit = slippedTakeProfit + slippageAmount
} else {
slippedTakeProfit = slippedTakeProfit - slippageAmount
@@ -838,7 +838,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function getPositionSize() {
let balance
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
balance = tradingEngine.current.balance.baseAsset.value
} else {
balance = tradingEngine.current.balance.quotedAsset.value