Snapshots
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Luis Fernando Molina committed
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@@ -121,6 +121,7 @@
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const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
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const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
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const TRADES_FOLDER_NAME = "Simulation-Trades";
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const SNAPSHOTS_FOLDER_NAME = "Snapshots";
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const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
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@@ -129,6 +130,10 @@
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let strategiesArray
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let tradesArray
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let snapshotHeaders
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let triggerOnSnapshot
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let takePositionSnapshot
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let tradingSystem = {};
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tradingSimulation.runSimulation(
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@@ -142,7 +147,7 @@
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writeFiles,
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callBackFunction)
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function writeFiles(pTradingSystem, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray) {
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function writeFiles(pTradingSystem, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pSnapshotHeaders, pTriggerOnSnapshot, pTakePositionSnapshot) {
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tradingSystem = pTradingSystem
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recordsArray = pRecordsArray
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@@ -150,11 +155,16 @@
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strategiesArray = pStrategiesArray
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tradesArray = pTradesArray
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snapshotHeaders = pSnapshotHeaders
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triggerOnSnapshot = pTriggerOnSnapshot
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takePositionSnapshot = pTakePositionSnapshot
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if (timeFrame > global.dailyFilePeriods[0][0]) {
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writeMarketFiles()
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} else {
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writeDailyFiles()
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}
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}
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function writeMarketFiles() {
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@@ -474,7 +484,7 @@
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}
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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writeSnapshotFiles();
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}
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catch (err) {
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@@ -489,97 +499,52 @@
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}
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}
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}
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function writeSnapshotFiles() {
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function writeDailyFiles() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> Entering function."); }
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writeSnapshotFile(triggerOnSnapshot, 'Trigger-On', onFinish)
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writeRecordsFile();
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function onFinish() {
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writeSnapshotFile(takePositionSnapshot, 'Take-Position', callBackFunction)
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}
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}
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/* TODO : NEXT function is a work in progress, not used today */
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function writeFinalResults() {
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function writeSnapshotFile(snapshotArray, pFileName, callBack) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeFinalResults -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeSnapshotFile -> Entering function."); }
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if ( // We only write this file if we are at the head of the market.
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Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS
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!==
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Math.trunc((new Date()).valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS
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) {
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writeRecordsFile();
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return;
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}
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
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let separator = "\r\n";
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for (let i = 0; i < recordsArray.length; i++) {
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let record = recordsArray[i];
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/* Will only add to the file the records of the current day */
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if (record.begin < currentDay.valueOf()) { continue; }
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fileContent = fileContent + separator + '[' +
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record.begin + "," +
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record.end + "," +
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record.type + "," +
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record.marketRate + "," +
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record.amount + "," +
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record.balanceA + "," +
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record.balanceB + "," +
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record.profit + "," +
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record.lastTradeProfitLoss + "," +
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record.stopLoss + "," +
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record.roundtrips + "," +
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record.hits + "," +
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record.fails + "," +
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record.hitRatio + "," +
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record.ROI + "," +
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record.periods + "," +
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record.days + "," +
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record.anualizedRateOfReturn + "," +
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record.positionRate + "," +
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record.lastTradeROI + "," +
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record.strategy + "," +
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record.strategyStageNumber + "," +
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record.takeProfit + "," +
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record.stopLossPhase + "," +
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record.takeProfitPhase + "," +
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JSON.stringify(record.executionRecord) + "," +
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record.positionSize + "," +
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record.initialBalanceA + "," +
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record.minimumBalanceA + "," +
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record.maximumBalanceA + "," +
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record.initialBalanceB + "," +
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record.minimumBalanceB + "," +
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record.maximumBalanceB + "," +
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record.baseAsset + "," +
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record.quotedAsset + "," +
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record.marketBaseAsset + "," +
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record.marketQuotedAsset + "," +
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record.positionPeriods + "," +
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record.positionDays + "," +
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record.distanceToLastTriggerOn + "," +
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record.distanceToLastTriggerOff + "," +
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record.distanceToLastTakePosition + "," +
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record.distanceToLastClosePosition + "]";
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if (separator === "") { separator = ","; }
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parseRecord(snapshotHeaders)
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for (let i = 0; i < snapshotArray.length; i++) {
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let record = snapshotArray[i];
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parseRecord(record)
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fileRecordCounter++;
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}
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function parseRecord(record) {
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for (let j = 0; j < record.length; j++) {
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let property = record[j]
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fileContent = fileContent + '' + property
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if (j !== record.length - 1) {
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fileContent = fileContent + ","
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}
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}
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fileContent = fileContent + separator
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}
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fileContent = "[" + fileContent + "]";
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fileContent = "" + fileContent + "";
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let fileName = 'Data.json';
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let filePath = bot.filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + timeFrameLabel;
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let fileName = pFileName + '.csv';
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let filePath = bot.filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + SNAPSHOTS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timeFrameLabel;
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filePath += '/' + fileName
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fileStorage.createTextFile(filePath, fileContent + '\n', onFileCreated);
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@@ -588,35 +553,42 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> fileContent = " + fileContent); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeSnapshotFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeMarketFiles -> writeSnapshotFile -> onFileCreated -> fileContent = " + fileContent); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> market = " + market.baseAsset + "_" + market.quotedAsset);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeSnapshotFile -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeSnapshotFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeSnapshotFile -> onFileCreated -> market = " + market.baseAsset + "_" + market.quotedAsset);
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callBackFunction(err);
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return;
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}
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writeRecordsFile();
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callBack(global.DEFAULT_OK_RESPONSE);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeSnapshotFile -> onFileCreated -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeFinalResults -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeMarketFiles -> writeSnapshotFile -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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function writeDailyFiles() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> Entering function."); }
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writeRecordsFile();
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function writeRecordsFile() {
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try {
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