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Trading Stage

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This commit is contained in:
Luis Fernando Molina committed 2020-12-03 10:48:23 +01:00
1 parent f3478e5227
commit 4395d467d3
6 files changed
+38 -33
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Projects/ProjectsSchema.json
+7
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@@ -603,6 +603,13 @@
"functionName": "newSuperalgosBotModulesTradingSystem",
"fileName": "TradingSystem.js",
"folderName": "Trading-Bot/Low-Frequency-Trading"
},
{
"name": "Trading Stages",
"propertyName": "tradingStages",
"functionName": "newSuperalgosBotModulesTradingStages",
"fileName": "TradingStages.js",
"folderName": "Trading-Bot/Low-Frequency-Trading"
}
]
},
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingEpisode.js
+2 -2
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@@ -1,4 +1,4 @@
exports.newSuperalgosBotModulesTradingEpisode = function (processIndex, tradingEngineModule) {
exports.newSuperalgosBotModulesTradingEpisode = function (processIndex, tradingEngineModuleObject) {
/*
This module packages all functions related to Episodes.
*/
@@ -83,7 +83,7 @@ exports.newSuperalgosBotModulesTradingEpisode = function (processIndex, tradingE
}
function resetEpisode() {
tradingEngineModule.initializeNode(tradingEngine.current.episode)
tradingEngineModuleObject.initializeNode(tradingEngine.current.episode)
}
function updateEnds() {
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingOutput.js
+2 -2
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@@ -1,4 +1,4 @@
exports.newSuperalgosBotModulesTradingOutput = function (processIndex, tradingEngineModule) {
exports.newSuperalgosBotModulesTradingOutput = function (processIndex, tradingEngineModuleObject) {
/*
This module will load if necesary all the data outputs so that they can be appended with new
records if needed. After running the simulation, it will save all the data outputs.
@@ -37,7 +37,7 @@ exports.newSuperalgosBotModulesTradingOutput = function (processIndex, tradingEn
}
/* Preparing everything for the Simulation */
let tradingSimulationModuleObject = TS.projects.superalgos.botModules.tradingSimulation.newSuperalgosBotModulesTradingSimulation(processIndex, tradingEngineModule)
let tradingSimulationModuleObject = TS.projects.superalgos.botModules.tradingSimulation.newSuperalgosBotModulesTradingSimulation(processIndex, tradingEngineModuleObject)
let outputDatasets = TS.projects.superalgos.utilities.nodeFunctions.nodeBranchToArray(TS.projects.superalgos.globals.taskConstants.TASK_NODE.bot.processes[processIndex].referenceParent.processOutput, 'Output Dataset')
let outputDatasetsMap = new Map()
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingSimulation.js
+8 -8
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@@ -1,4 +1,4 @@
exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradingEngineModule) {
exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradingEngineModuleObject) {
/*
This Module represents the trading simulacion. Escentially a loop through a set of candles and
the execution at each loop cycle of the Trading System Protocol.
@@ -37,10 +37,10 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
let tradingRecordsModuleObject = TS.projects.superalgos.botModules.tradingRecords.newSuperalgosBotModulesTradingRecords(processIndex)
tradingRecordsModuleObject.initialize(outputDatasetsMap)
let tradingSystemModuleObject = TS.projects.superalgos.botModules.tradingSystem.newSuperalgosBotModulesTradingSystem(processIndex, tradingEngineModule)
let tradingSystemModuleObject = TS.projects.superalgos.botModules.tradingSystem.newSuperalgosBotModulesTradingSystem(processIndex, tradingEngineModuleObject)
tradingSystemModuleObject.initialize()
let tradingEpisodeModuleObject = TS.projects.superalgos.botModules.tradingEpisode.newSuperalgosBotModulesTradingEpisode(processIndex, tradingEngineModule)
let tradingEpisodeModuleObject = TS.projects.superalgos.botModules.tradingEpisode.newSuperalgosBotModulesTradingEpisode(processIndex, tradingEngineModuleObject)
tradingEpisodeModuleObject.initialize()
/* Setting up the candles array: The whole simulation is based on the array of candles at the time-frame defined at the session parameters. */
@@ -108,7 +108,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle Begin @ ' + (new Date(candle.begin)).toLocaleString()) }
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle End @ ' + (new Date(candle.end)).toLocaleString()) }
tradingEngineModule.setCurrentCandle(candle) // We move the current candle we are standing at, to the trading engine data structure to make it available to anyone, including conditions and formulas.
tradingEngineModuleObject.setCurrentCandle(candle) // We move the current candle we are standing at, to the trading engine data structure to make it available to anyone, including conditions and formulas.
/* We emit a heart beat so that the UI can now where we are at the overal process.*/
heartBeat()
@@ -133,7 +133,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
*/
tradingSystemModuleObject.mantain()
tradingEpisodeModuleObject.mantain()
tradingEngineModule.mantain()
tradingEngineModuleObject.mantain()
/*
Run the first cycle of the Trading System. In this first cycle we
@@ -142,7 +142,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
orders can not be created, since otherwise the could be cancelled at
the second cycle without spending real time at the order book.
*/
tradingEngineModule.setCurrentCycle('First')
tradingEngineModuleObject.setCurrentCycle('First')
await runCycle()
/*
@@ -166,7 +166,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
without the need to wait until the next candle. Orders can not be cancelled
during the second cycle.
*/
tradingEngineModule.setCurrentCycle('Second')
tradingEngineModuleObject.setCurrentCycle('Second')
await runCycle()
checkIfWeNeedToStopAfterBothCycles()
@@ -180,7 +180,7 @@ exports.newSuperalgosBotModulesTradingSimulation = function (processIndex, tradi
/* Reset Data Structures */
tradingSystemModuleObject.reset()
tradingEpisodeModuleObject.reset()
tradingEngineModule.reset()
tradingEngineModuleObject.reset()
let infoMessage = 'Processing candle # ' + tradingEngine.current.episode.candle.index.value + ' @ the ' + tradingEngine.current.episode.cycle.value + ' cycle.'
if (FULL_LOG === true) { TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[INFO] runSimulation -> loop -> ' + infoMessage) }
TaskServer/LowFrequencyTrading/TradingStages.js → Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingStages.js
+6 -6
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@@ -1,4 +1,4 @@
exports.newTradingStages = function (processIndex, tradingEngineModule) {
exports.newSuperalgosBotModulesTradingStages = function (processIndex, tradingEngineModuleObject) {
/*
This module packages all functions related to Stages.
*/
@@ -21,13 +21,13 @@ exports.newTradingStages = function (processIndex, tradingEngineModule) {
}
const TRADING_STRATEGY_MODULE = require('./TradingStrategy.js')
let tradingStrategyModule = TRADING_STRATEGY_MODULE.newTradingStrategy(processIndex, tradingEngineModule)
let tradingStrategyModule = TRADING_STRATEGY_MODULE.newTradingStrategy(processIndex, tradingEngineModuleObject)
const TRADING_POSITION_MODULE = require('./TradingPosition.js')
let tradingPositionModule = TRADING_POSITION_MODULE.newTradingPosition(processIndex, tradingEngineModule)
let tradingPositionModule = TRADING_POSITION_MODULE.newTradingPosition(processIndex, tradingEngineModuleObject)
const TRADING_ENGINE_EXECUTION = require('./TradingExecution.js')
let tradingExecutionModule = TRADING_ENGINE_EXECUTION.newTradingExecution(processIndex, tradingEngineModule)
let tradingExecutionModule = TRADING_ENGINE_EXECUTION.newTradingExecution(processIndex, tradingEngineModuleObject)
const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(processIndex)
@@ -291,7 +291,7 @@ exports.newTradingStages = function (processIndex, tradingEngineModule) {
let tradingEngineStage = tradingEngine.current.strategyOpenStage
/* Reset the Exchange Orders data structure to its initial value */
tradingEngineModule.initializeNode(tradingEngine.exchangeOrders)
tradingEngineModuleObject.initializeNode(tradingEngine.exchangeOrders)
/* Entry Position size and rate */
tradingSystem.evalFormulas(tradingSystemStage, 'Initial Targets')
@@ -1071,7 +1071,7 @@ exports.newTradingStages = function (processIndex, tradingEngineModule) {
}
function resetStage(stage) {
tradingEngineModule.initializeNode(stage)
tradingEngineModuleObject.initializeNode(stage)
}
}
Projects/Superalgos/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingSystem.js
+13 -15
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@@ -1,4 +1,4 @@
exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEngineModule) {
exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEngineModuleObject) {
/*
The Trading System is the user defined set of rules compliant with the Trading Protocol that
defines the trading logic to be applied during each cycle of the Simulation.
@@ -19,9 +19,7 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEn
let sessionParameters
let dynamicIndicators
const TRADING_STAGES_MODULE = require('./TradingStages.js')
let tradingStagesModule = TRADING_STAGES_MODULE.newTradingStages(processIndex, tradingEngineModule)
let tradingStagesModuleObject = TS.projects.superalgos.botModules.tradingStages.newSuperalgosBotModulesTradingStages(processIndex, tradingEngineModuleObject)
return thisObject
@@ -33,7 +31,7 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEn
tradingSystem.conditions = new Map()
tradingSystem.formulas = new Map()
tradingStagesModule.initialize()
tradingStagesModuleObject.initialize()
/* Adding Functions used elsewhere to Trading System Definition */
tradingSystem.checkConditions = function (situation, passed) {
@@ -78,8 +76,8 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEn
}
function finalize() {
tradingStagesModule.finalize()
tradingStagesModule = undefined
tradingStagesModuleObject.finalize()
tradingStagesModuleObject = undefined
chart = undefined
@@ -101,11 +99,11 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEn
}
function mantain() {
tradingStagesModule.mantain()
tradingStagesModuleObject.mantain()
}
function reset() {
tradingStagesModule.reset()
tradingStagesModuleObject.reset()
tradingSystem.highlights = []
tradingSystem.errors = []
@@ -120,7 +118,7 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEn
function updateChart(pChart) {
chart = pChart // We need chat to be a local object accessible from conditions and formulas.
tradingStagesModule.updateChart(pChart)
tradingStagesModuleObject.updateChart(pChart)
}
function buildDynamicIndicators() {
@@ -144,18 +142,18 @@ exports.newSuperalgosBotModulesTradingSystem = function (processIndex, tradingEn
buildDynamicIndicators()
/* Run the Trigger Stage */
tradingStagesModule.runTriggerStage()
tradingStagesModuleObject.runTriggerStage()
/* Run the Open Stage */
await tradingStagesModule.runOpenStage()
await tradingStagesModuleObject.runOpenStage()
/* Run the Manage Stage */
tradingStagesModule.runManageStage()
tradingStagesModuleObject.runManageStage()
/* Run the Close Stage */
await tradingStagesModule.runCloseStage()
await tradingStagesModuleObject.runCloseStage()
tradingStagesModule.cycleBasedStatistics()
tradingStagesModuleObject.cycleBasedStatistics()
} catch (err) {
/*