Fixed Transaction Records

LowFrequencyTrading/Announcements.js

@@ -45,7 +45,7 @@ exports.newAnnouncements = function newAnnouncements(bot, logger) {
                     }
                 }
 
-                if (tradingEngine.episode.episodeCounters.periods > lastPeriodAnnounced) {
+                if (tradingEngine.episode.episodeCounters.periods.value > lastPeriodAnnounced) {
                     if (isNaN(value) === false) {
                         /* The Value Variation is what tells us how much the value already announced must change in order to annouce it again. */
                         let valueVariation
@@ -72,12 +72,12 @@ exports.newAnnouncements = function newAnnouncements(bot, logger) {
 
                     /* Next, we will remmeber this announcement was already done, so that it is not announced again in further processing of the same day. */
                     if (newAnnouncementRecord.periods !== undefined) {
-                        newAnnouncementRecord.periods = tradingEngine.episode.episodeCounters.periods
+                        newAnnouncementRecord.periods = tradingEngine.episode.episodeCounters.periods.value
                         newAnnouncementRecord.value = value
                     } else {
                         newAnnouncementRecord = {
                             key: key,
-                            periods: tradingEngine.episode.episodeCounters.periods,
+                            periods: tradingEngine.episode.episodeCounters.periods.value,
                             value: value
                         }
                         variable.announcements.push(newAnnouncementRecord)

LowFrequencyTrading/TradingEngine.js

@@ -133,8 +133,8 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
     }
 
     function updateEpisodeCountersAndStatistics() {
-        tradingEngine.episode.episodeCounters.periods++
-        tradingEngine.episode.episodeStatistics.days = tradingEngine.episode.episodeCounters.periods * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
+        tradingEngine.episode.episodeCounters.periods.value++
+        tradingEngine.episode.episodeStatistics.days.value = tradingEngine.episode.episodeCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
     }
 
     function updatePositionCountersAndStatistics() {
@@ -278,11 +278,11 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
         if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
             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 * 365
+            tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
         } else {
             tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionQuotedAsset.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 * 365
+            tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
         }
 
         addRecords()

LowFrequencyTrading/TradingExecution.js

@@ -105,7 +105,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
         /* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
         if (variable.executionContext !== undefined) {
             if (variable.executionContext.periods !== undefined) {
-                if (tradingEngine.episode.episodeCounters.periods <= variable.executionContext.periods) {
+                if (tradingEngine.episode.episodeCounters.periods.value <= variable.executionContext.periods) {
                     if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because it was already placed at a previous execution.') }
                     takePositionAtSimulation()
                     return
@@ -149,7 +149,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
 
         variable.executionContext = {
             status: 'Taking Position',
-            periods: tradingEngine.episode.episodeCounters.periods
+            periods: tradingEngine.episode.episodeCounters.periods.value
         }
 
         if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to create order.') }
@@ -164,7 +164,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
                         if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE ') }
                         variable.executionContext = {
                             status: 'In a Position',
-                            periods: tradingEngine.episode.episodeCounters.periods,
+                            periods: tradingEngine.episode.episodeCounters.periods.value,
                             amountA: amountA,
                             amountB: amountB,
                             orderId: order.id
@@ -244,7 +244,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
         /* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
         if (variable.executionContext !== undefined) {
             if (variable.executionContext.periods !== undefined) {
-                if (tradingEngine.episode.episodeCounters.periods <= variable.executionContext.periods) {
+                if (tradingEngine.episode.episodeCounters.periods.value <= variable.executionContext.periods) {
                     if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because this closing was already submited at a previous execution.') }
                     closePositionAtSimulation()
                     return
@@ -275,7 +275,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
 
         variable.executionContext = {
             status: 'Closing Position',
-            periods: tradingEngine.episode.episodeCounters.periods
+            periods: tradingEngine.episode.episodeCounters.periods.value
         }
 
         if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange.') }
@@ -290,7 +290,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
                         if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE ') }
                         variable.executionContext = {
                             status: 'Position Closed',
-                            periods: tradingEngine.episode.episodeCounters.periods,
+                            periods: tradingEngine.episode.episodeCounters.periods.value,
                             amountA: amountA,
                             amountB: amountB,
                             orderId: order.id

LowFrequencyTrading/TradingOutput.js

@@ -83,7 +83,7 @@ exports.newTradingOutput = function newTradingOutput(bot, logger, UTILITIES, FIL
                         let fileName = 'Data.json'
                         let filePath = bot.filePathRoot + '/Output/' + bot.SESSION.folderName + '/' + dataset.parentNode.config.codeName + '/' + dataset.config.codeName + '/' + timeFrameLabel
 
-                        readOutputFile(fileName, filePath, dataset.parentNode.config.pluralVariableName)
+                        readOutputFile(fileName, filePath, dataset.parentNode.config.codeName)
                     }
                 }
             }
@@ -99,7 +99,7 @@ exports.newTradingOutput = function newTradingOutput(bot, logger, UTILITIES, FIL
                         let fileName = 'Data.json'
                         let filePath = bot.filePathRoot + '/Output/' + bot.SESSION.folderName + '/' + dataset.parentNode.config.codeName + '/' + dataset.config.codeName + '/' + timeFrameLabel + "/" + dateForPath
 
-                        readOutputFile(fileName, filePath, dataset.parentNode.config.pluralVariableName)
+                        readOutputFile(fileName, filePath, dataset.parentNode.config.codeName)
                     }
                 }
             }
@@ -172,7 +172,7 @@ exports.newTradingOutput = function newTradingOutput(bot, logger, UTILITIES, FIL
                         let fileName = 'Data.json'
                         let filePath = bot.filePathRoot + '/Output/' + bot.SESSION.folderName + '/' + dataset.parentNode.config.codeName + '/' + dataset.config.codeName + '/' + timeFrameLabel
 
-                        writeOutputFile(fileName, filePath, dataset.parentNode.config.pluralVariableName)
+                        writeOutputFile(fileName, filePath, dataset.parentNode.config.codeName)
                     }
                 }
             }
@@ -188,7 +188,7 @@ exports.newTradingOutput = function newTradingOutput(bot, logger, UTILITIES, FIL
                         let fileName = 'Data.json'
                         let filePath = bot.filePathRoot + '/Output/' + bot.SESSION.folderName + '/' + dataset.parentNode.config.codeName + '/' + dataset.config.codeName + '/' + timeFrameLabel + "/" + dateForPath
 
-                        writeOutputFile(fileName, filePath, dataset.parentNode.config.pluralVariableName)
+                        writeOutputFile(fileName, filePath, dataset.parentNode.config.codeName)
                     }
                 }
             }

LowFrequencyTrading/TradingRecords.js

@@ -14,7 +14,7 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
 
     return thisObject
 
-    function initialize(pOutputDatasets, pOutputDatasetsMap) {
+    function initialize(pOutputDatasetsMap) {
         tradingEngine = bot.simulationState.tradingEngine
         tradingSystem = bot.simulationState.tradingSystem
         outputDatasetsMap = pOutputDatasetsMap  // These are the files turned into arrays, stored in a Map by Product codeName.
@@ -52,32 +52,84 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
         }
 
         function scanRecordDefinition(product) {
-            let rootNode = eval(product.config.nodePath)
+            /*
+            The Product Root Node is the root of the node hiriarchy branch that we need to look at
+            in order to fnd the node where we are going to extract the value.
+            */
+            let productRootNode = eval(product.config.nodePath)
             let record = []
-            for (let j = 0; j < product.recordDefinition.recordProperties.length; j++) {
-                let recordProperty = product.recordDefinition.recordProperties[j]
-                let value
+            for (let j = 0; j < product.record.properties.length; j++) {
+                let recordProperty = product.record.properties[j]
+                /* 
+                The Property Root Node is the Root of the Hiriarchy branch we must find in order
+                to get the node where we are going to extract the value. Initially
+                we point it to the Product Root Node, because that is the default in case
+                a property does not have at its configuration a different nodePath configured
+                pointing to an specific Root for the property.
+                */
+                let propertyRootNode = productRootNode
+                /*
+                If we find at the configuration a nodePath, then we take this path to find
+                the Root Node specifically for this property only.
+                */
                 if (recordProperty.config.nodePath !== undefined) {
-                    let childNode = rootNode[recordProperty.config.childNode]
-                    if (recordProperty.config.index !== undefined) {
-                        value = childNode[recordProperty.config.codeName]           // this returns an array
-                        value = value[recordProperty.config.index].value            // this return a node item of the array and its value
-                    } else {
-                        value = childNode[recordProperty.config.codeName].value     // here we get the value of the childNode
-                    }
-                } else {
-                    value = rootNode[recordProperty.config.codeName].value          // this is the standard way
+                    propertyRootNode = eval(recordProperty.config.nodePath)
                 }
-                if (value === Infinity) {
-                    value = Number.MAX_SAFE_INTEGER
+                /* 
+                The Target Node is the node from where we are going to exctract the value.
+                We will use the codeName of the Record Property to match it with 
+                the any of the properties of the Root Node to get the Target Node.  
+                */
+                let targetNode = propertyRootNode[recordProperty.config.codeName]
+                /*
+                If the codeName of the Record Property can not match the name of the property at
+                the target node, the user can explicitly specify the property name at the configuration,
+                and in those cases we need to use that. This happens when there are many Record Properties
+                pointing to the same property at the Target Node.
+                */
+                if (recordProperty.config.childProperty !== undefined) {
+                    targetNode = propertyRootNode[recordProperty.config.childProperty]
                 }
+                /*
+                It can happen that intead of having a Node in targetNode what we have is an
+                array of nodes. We need to pick one of the elements of the array and for that
+                we use the Index value we find at the configuration of the Record Property.
+                */
+                if (recordProperty.config.index !== undefined) {
+                    targetNode = targetNode[recordProperty.config.index]
+                }
+                /* 
+                By Default the value is extracted from the value property of the Target Node.
+                But it might happen the the Target Node does not exist for example when there is an Array
+                of Nodes defined in the Record Properties but not all of them exist at the Root Node.
+                We filter out those cases by not extracting the value from the value property.
+                */
+                let value
+                if (targetNode !== undefined) {
+                    value = targetNode.value
+                }
+
+                value = safeValue(value)
                 if (recordProperty.config.isString === true) {
                     value = '"' + value + '"'
                 }
                 record.push(value)
             }
-
             return record
         }
     }
+
+    function safeValue(value) {
+        /*
+        The purpose of this function is to check that value variable does not have a value that 
+        will later break the JSON format of files where this is going to be stored at. 
+        */
+        if (value === Infinity) {
+            value = Number.MAX_SAFE_INTEGER
+        }
+        if (value === undefined) {
+            value = 0
+        }
+        return value
+    }
 }

LowFrequencyTrading/TradingSimulation.js

@@ -233,7 +233,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
 
                 snapshotsModule.manageSnapshots()
                 tradingRecordsModule.appendRecords()
-                annoucementsModule.makeAnnoucements()           // After everything at the simulation level was done, we will do the annoucements that are pending. 
+                announcementsModule.makeAnnoucements()           // After everything at the simulation level was done, we will do the annoucements that are pending. 
 
                 controlLoop()
             }