Polishing
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Luis Fernando Molina committed
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@@ -128,7 +128,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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at the Trading Engine Order the lock is Open or Closed.
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*/
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if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
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if (tradingEngineOrder.identifier.value === 'Closed') {
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if (tradingEngineOrder.lock.value === 'Closed') {
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continue
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}
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}
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@@ -151,25 +151,23 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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/* During the Second cycle we can not cancel orders. That is reserved for the First cycle. */
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if (tradingEngine.current.episode.cycle.value === 'Second') { continue }
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/*
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In the previous steps, we might have discovered that the order was cancelled
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at the exchange, or filled, so the order might still not be Open.
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If the stage is closing or the order is not Open, we wont be cancelling orders
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based on defined events.
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/* Check if we need to cancel the order */
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await checkCancelOrderEvent(tradingEngineStage, executionAlgorithm, executionNode, tradingEngineOrder, tradingSystemOrder)
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/*
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If by this time the order is closed, we need to clone it and get the close
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to the Last node at the Trading Engine data structure.
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*/
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if (tradingEngineStage.status.value !== 'Closing' && tradingEngineOrder.status.value === 'Open') {
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/* Check if we need to Cancel this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Simulate Order Cancelation, if needed. */
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simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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/* Cancel the order at the Exchange, if needed. */
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await exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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updateEndsWithCycle(tradingEngineOrder)
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if (tradingEngineOrder.status.value === 'Closed') {
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineModule.cloneValues(tradingEngineOrder, tradingEngine.last.marketOrders)
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break
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}
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case 'Limit Order': {
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tradingEngineModule.cloneValues(tradingEngineOrder, tradingEngine.last.limitOrders)
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break
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}
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}
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}
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}
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@@ -177,6 +175,30 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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}
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}
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async function checkCancelOrderEvent(tradingEngineStage, executionAlgorithm, executionNode, tradingEngineOrder, tradingSystemOrder) {
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/*
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In the previous steps, we might have discovered that the order was cancelled
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at the exchange, or filled, so the order might still not be Open.
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If the stage is closing or the order is not Open, we wont be cancelling orders
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based on defined events.
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*/
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if (tradingEngineStage.status.value !== 'Closing' && tradingEngineOrder.status.value === 'Open') {
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/* Check if we need to Cancel this Order */
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let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Simulate Order Cancelation, if needed. */
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simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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/* Cancel the order at the Exchange, if needed. */
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await exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
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updateEndsWithCycle(tradingEngineOrder)
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}
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}
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}
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function tradingSystemValidations(tradingSystemOrder) {
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/* Trading System Validations */
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if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
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@@ -397,65 +419,104 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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/* Actual Rate Simulation */
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
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calculatedBasedOnTradingSystem = true
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basedOnTradingSystem()
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basedOnSessionParameters()
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considerBestMatchWithOrderBook()
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recalculateQuotedAsset()
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recalculateSizePlaced()
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function basedOnTradingSystem() {
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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}
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}
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}
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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/* Actual Rate is simulated based on the Session Paremeters */
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let slippageAmount = tradingEngineOrder.rate.value * sessionParameters.slippage.config.positionRate / 100
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switch (tradingSystemOrder.type) {
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case 'Market Sell Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
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break
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}
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case 'Market Buy Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
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break
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function basedOnSessionParameters() {
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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/* Actual Rate is simulated based on the Session Paremeters */
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let slippageAmount = tradingEngineOrder.rate.value * sessionParameters.slippage.config.positionRate / 100
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switch (tradingSystemOrder.type) {
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case 'Market Sell Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
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break
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}
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case 'Market Buy Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
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break
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}
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}
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break
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}
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case 'Limit Order': {
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/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
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break
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}
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break
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}
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case 'Limit Order': {
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/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
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break
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}
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}
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}
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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/*
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Recalculate the Quouted Asset Size based on the newly calculated Actual Rate.
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*/
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.orderStatistics.actualRate.value
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tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
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/*
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Recaulculate the Size Placed Based on the newly calculated Quoted Asset Size.
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*/
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value -
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previousQuotedAssetSize
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function considerBestMatchWithOrderBook() {
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/*
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Until here we have got the rate based on the formula definition or based on session parameters slippage.
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THe last check is about watching what happened in the market. Let's remember that the exchange will
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fill the order with the best possible matches at it's order book. That means that if the rate
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we set for the order was too low (for a sale order) or too hight (for a buy order), the actual rate
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should be better than expected.
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*/
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switch (true) {
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case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
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if (tradingEngineOrder.orderStatistics.actualRate.value > tradingEngine.current.episode.candle.max.value) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.max.value
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}
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break
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}
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case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
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if (tradingEngineOrder.orderStatistics.actualRate.value < tradingEngine.current.episode.candle.min.value) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.min.value
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}
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break
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}
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}
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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}
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value +
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tradingEngineOrder.orderQuotedAsset.size.value
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function recalculateQuotedAsset() {
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/*
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Recalculate the Quouted Asset Size based on the newly calculated Actual Rate.
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*/
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.orderStatistics.actualRate.value
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tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
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}
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
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function recalculateSizePlaced(){
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/*
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Recaulculate the Size Placed Based on the newly calculated Quoted Asset Size.
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*/
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value -
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previousQuotedAssetSize
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value +
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tradingEngineOrder.orderQuotedAsset.size.value
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
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}
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}
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function percentageFilledSimulation() {
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@@ -43,10 +43,34 @@ exports.newTradingOutput = function newTradingOutput(bot, logger, tradingEngineM
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let outputDatasets = bot.processNode.referenceParent.processOutput.outputDatasets
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let outputDatasetsMap = new Map()
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if (bot.FIRST_EXECUTION === true && bot.RESUME === false) {
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await initializeOutputs()
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if (bot.processingDailyFiles === true) {
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/*
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For Daily Files, we are going to initialize the outputs at the first execution
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if we are not resuming, but also at every following execution except when
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we are at the head of the market, because at the head of the market we need to
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append more data to the same output files that already exists.
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*/
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if (bot.FIRST_EXECUTION === true && bot.RESUME === false) {
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await initializeOutputs()
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} else {
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if (bot.simulationState.tradingEngine.current.episode.headOfTheMarket.value === true) {
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await readFiles()
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} else {
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await initializeOutputs()
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}
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}
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} else {
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await readFiles()
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/*
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Form Market Files, we are only going to initialize the outputs at the first run
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and if we are not resuming execution. Subsequent runs means that we are at the
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head of the market. Remember that backtests finishes the session once the reach
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the final datetime.
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*/
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if (bot.FIRST_EXECUTION === true && bot.RESUME === false) {
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await initializeOutputs()
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} else {
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await readFiles()
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}
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}
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await tradingSimulation.runSimulation(
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@@ -557,7 +557,12 @@
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tradingProcessDate
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)
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bot.FIRST_EXECUTION = false // From here on, all other loops executions wont be the first execution.
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/*
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From here on, all other loops executions wont be the first execution and also
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we will consider that it is not resuming a previous execution as well.
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*/
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bot.FIRST_EXECUTION = false
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bot.RESUME = false
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}
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async function writeProcessFiles() {
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@@ -148,6 +148,15 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, tradin
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tradingEngineModule.setCurrentCycle('First')
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await runCycle()
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/*
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We check if we need to stop before appending the records so that the stop
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reason is also propery recorded. Note also that we check this after the first
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cycle, where orders have not been submitted to the exchange yet, but we
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had the chance to check for the status of placed orders or even cancel
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the ones that needed cancellation.
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*/
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checkIfWeNeedToStop()
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords()
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@@ -163,12 +172,6 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, tradin
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tradingEngineModule.setCurrentCycle('Second')
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await runCycle()
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/*
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We check if we need to stop before appending the records so that the stop
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reason is also propery recorded.
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*/
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checkIfWeNeedToStop()
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/* Add new records to the process output */
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tradingRecordsModule.appendRecords()
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@@ -891,11 +891,14 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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either on Base Asset or Quoted Asset.
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This can happens at any time when we update the sizeFilled and the feesPaid values
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when we see at the exchange that orders were filled.
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Note that the comparison is made with a Rounding Factor in order to avoid rounding problems.
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*/
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const ROUNDING_ERROR_CORRECTION_FACTOR = 1.0000001
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switch (tradingEngineStage.stageDefinedIn.value) {
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case 'Base Asset': {
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if (
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tradingEngineStage.stageBaseAsset.sizeFilled.value
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tradingEngineStage.stageBaseAsset.sizeFilled.value * ROUNDING_ERROR_CORRECTION_FACTOR
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>=
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tradingEngineStage.stageBaseAsset.targetSize.value
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) {
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@@ -907,7 +910,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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}
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case 'Quoted Asset': {
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if (
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tradingEngineStage.stageQuotedAsset.sizeFilled.value
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tradingEngineStage.stageQuotedAsset.sizeFilled.value * ROUNDING_ERROR_CORRECTION_FACTOR
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>=
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tradingEngineStage.stageQuotedAsset.targetSize.value
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) {
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