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Market Orders Being Saved

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Luis Fernando Molina committed 2020-07-13 14:45:15 +02:00
1 parent 549ee50cd9
commit 55c1c67e26
6 files changed
+196 -146
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LowFrequencyTrading/TradingSystem.js
+38 -34
View File
@@ -1,4 +1,4 @@
exports.newTradingSystem = function newTradingSystem(bot, logger) {
exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineModule) {
/*
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.
@@ -26,10 +26,10 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
let formulas = new Map()
const TRADING_STRATEGY_MODULE = require('./TradingStrategy.js')
let tradingStrategyModule = TRADING_STRATEGY_MODULE.newTradingStrategy(bot, logger)
let tradingStrategyModule = TRADING_STRATEGY_MODULE.newTradingStrategy(bot, logger, tradingEngineModule)
const TRADING_POSITION_MODULE = require('./TradingPosition.js')
let tradingPositionModule = TRADING_POSITION_MODULE.newTradingPosition(bot, logger)
let tradingPositionModule = TRADING_POSITION_MODULE.newTradingPosition(bot, logger, tradingEngineModule)
const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
@@ -1008,37 +1008,41 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function checkOrders(orders, executionAlgorithm, executionNode) {
for (let i = 0; i < orders.length; i++) {
let order = orders[i]
let tradingSystemOrder = orders[i]
/* Basic Validations */
if (order.referenceParent === undefined) { continue }
if (order.referenceParent.identifier === undefined) { continue }
if (order.referenceParent.begin === undefined) { continue }
if (order.referenceParent.end === undefined) { continue }
if (order.referenceParent.rate === undefined) { continue }
if (order.referenceParent.size === undefined) { continue }
if (order.referenceParent.status === undefined) { continue }
if (order.referenceParent.algorithmName === undefined) { continue }
if (order.referenceParent.orderCounters === undefined) { continue }
if (order.referenceParent.orderCounters.periods === undefined) { continue }
if (order.positionSize === undefined) { continue }
if (order.positionSize.formula === undefined) { continue }
if (tradingSystemOrder.positionSize === undefined) { continue }
if (tradingSystemOrder.positionSize.formula === undefined) { continue }
if (tradingSystemOrder.referenceParent === undefined) { continue }
switch (order.referenceParent.status.value) {
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
if (tradingEngineOrder.identifier === undefined) { continue }
if (tradingEngineOrder.begin === undefined) { continue }
if (tradingEngineOrder.end === undefined) { continue }
if (tradingEngineOrder.rate === undefined) { continue }
if (tradingEngineOrder.size === undefined) { continue }
if (tradingEngineOrder.status === undefined) { continue }
if (tradingEngineOrder.algorithmName === undefined) { continue }
if (tradingEngineOrder.orderCounters === undefined) { continue }
if (tradingEngineOrder.orderCounters.periods === undefined) { continue }
switch (tradingEngineOrder.status.value) {
case 'Open': {
order.referenceParent.end.value = tradingEngine.current.candle.end.value
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
let mustCancelOrder = checkOrderEvent(order.cancelOrderEvent, order, executionAlgorithm, executionNode)
let mustCancelOrder = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
if (mustCancelOrder === true) {
// Cancel Order
order.referenceParent.status.value = 'Closed'
order.referenceParent.exitType.value = 'Cancelled'
tradingEngineOrder.status.value = 'Closed'
tradingEngineOrder.exitType.value = 'Cancelled'
}
let mustMoveOrder = checkOrderEvent(order.moveOrderEvent, order, executionAlgorithm, executionNode)
if (mustMoveOrder === true && order.referenceParent.status.value === 'Open') {
let mustMoveOrder = checkOrderEvent(tradingSystemOrder.moveOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
if (mustMoveOrder === true && tradingEngineOrder.status.value === 'Open') {
// Move Order
order.referenceParent.status.value = 'Open'
tradingEngineOrder.status.value = 'Open'
}
}
break
@@ -1047,18 +1051,18 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
}
break
default: {
order.referenceParent.status.value = 'Not Open'
let mustCreateOrder = checkOrderEvent(order.createOrderEvent, order, executionAlgorithm, executionNode)
tradingEngineOrder.status.value = 'Not Open'
let mustCreateOrder = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
if (mustCreateOrder === true) {
// Create Order
order.referenceParent.identifier.value = global.UNIQUE_ID()
order.referenceParent.begin.value = tradingEngine.current.candle.begin.value
order.referenceParent.end.value = tradingEngine.current.candle.end.value
order.referenceParent.rate.value = tradingEngine.current.candle.end.value
order.referenceParent.size.value = formulas.get(order.positionSize.formula.id)
order.referenceParent.status.value = 'Open'
order.referenceParent.algorithmName.value = executionAlgorithm.name
order.referenceParent.orderCounters.periods++
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
tradingEngineOrder.begin.value = tradingEngine.current.candle.begin.value
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
tradingEngineOrder.rate.value = tradingEngine.current.position.rate.value
tradingEngineOrder.size.value = formulas.get(tradingSystemOrder.positionSize.formula.id)
tradingEngineOrder.status.value = 'Open'
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
tradingEngineOrder.orderCounters.periods.value++
}
}
}