Snapshots
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Luis Fernando Molina committed
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commit
6368221937
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@@ -39,6 +39,10 @@
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} else {
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processingDailyFiles = true
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}
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let snapshotHeaders
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let triggerOnSnapshot = [];
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let takePositionSnapshot = [];
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let recordsArray = [];
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let conditionsArray = [];
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@@ -500,6 +504,14 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Processing candle # " + currentCandleIndex); }
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/* We are going to take snapshots of the values of indicators at key moments of the sumulation. */
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let snapshotKeys = new Map()
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snapshotLoopHeaders = []
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snapshotDataRecord = []
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addToTriggerOnSnapshot = false
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addToTakePositionSnapshot = false
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let announcementsToBeMade = []
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let candle = candles[currentCandleIndex];
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@@ -767,7 +779,9 @@
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if (initialDefinition.positionSize !== undefined) {
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if (initialDefinition.positionSize.formula !== undefined) {
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try {
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positionSize = eval(initialDefinition.positionSize.formula.code);
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let code = initialDefinition.positionSize.formula.code
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positionSize = eval(code);
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addCodeToSnapshot(code)
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} catch (err) {
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initialDefinition.positionSize.formula.error = err.message
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}
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@@ -794,7 +808,9 @@
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if (initialDefinition.positionRate !== undefined) {
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if (initialDefinition.positionRate.formula !== undefined) {
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try {
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let code = initialDefinition.positionRate.formula.code
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positionRate = eval(initialDefinition.positionRate.formula.code);
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addCodeToSnapshot(code)
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} catch (err) {
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initialDefinition.positionRate.formula.error = err.message
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}
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@@ -821,7 +837,9 @@
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if (phase.formula !== undefined) {
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try {
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formulaValue = eval(phase.formula.code);
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let code = phase.formula.code
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formulaValue = eval(code);
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addCodeToSnapshot(code)
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if (formulaValue === Infinity) {
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formulaError = "Formula evaluates to Infinity."
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formulaValue = MAX_STOP_LOSS_VALUE
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@@ -910,7 +928,9 @@
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if (phase.formula !== undefined) {
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try {
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formulaValue = eval(phase.formula.code);
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let code = phase.formula.code
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formulaValue = eval(code);
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addCodeToSnapshot(code)
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if (formulaValue === Infinity) {
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formulaValue = MAX_TAKE_PROFIT_VALUE
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if (takeProfitStage === 'Open Stage') {
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@@ -1007,7 +1027,9 @@
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if (phase.formula !== undefined) {
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try {
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formulaValue = eval(phase.formula.code);
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let code = phase.formula.code
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formulaValue = eval(code);
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addCodeToSnapshot(code)
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if (formulaValue === Infinity) {
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formulaError = ""
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formulaValue = MAX_STOP_LOSS_VALUE
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@@ -1096,7 +1118,9 @@
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if (phase.formula !== undefined) {
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try {
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formulaValue = eval(phase.formula.code);
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let code = phase.formula.code
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formulaValue = eval(code);
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addCodeToSnapshot(code)
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if (formulaValue === Infinity) {
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formulaError = "Formula evaluates to Infinity."
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formulaValue = MAX_TAKE_PROFIT_VALUE
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@@ -1181,7 +1205,9 @@
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let value
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try {
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value = eval(node.code);
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let code = node.code
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value = eval(code);
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addCodeToSnapshot(code)
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} catch (err) {
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/*
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One possible error is that the conditions references a .previous that is undefined. For this
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@@ -1319,6 +1345,7 @@
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}
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checkAnnouncements(triggerStage.triggerOn)
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addToTriggerOnSnapshot = true
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Switching to Trigger Stage because conditions at Trigger On Event were met."); }
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break;
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@@ -1452,6 +1479,7 @@
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currentTrade.takePositionSituation = situation.name
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checkAnnouncements(triggerStage.takePosition)
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addToTakePositionSnapshot = true
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Conditions at the Take Position Event were met."); }
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break;
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@@ -2186,6 +2214,7 @@
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}
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takePositionAtSimulation()
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return
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function putOpeningOrder() {
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@@ -2914,6 +2943,21 @@
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}
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}
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/* Add to Snapshot */
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if (addToTakePositionSnapshot === true) {
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takePositionSnapshot.push(snapshotDataRecord)
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addToTakePositionSnapshot = false
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}
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if (addToTriggerOnSnapshot === true) {
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triggerOnSnapshot.push(snapshotDataRecord)
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addToTriggerOnSnapshot = false
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}
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if (snapshotHeaders === undefined) {
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snapshotHeaders = JSON.parse(JSON.stringify(snapshotLoopHeaders))
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}
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makeAnnoucements() // After everything at the simulation level was done, we will do the annoucements that are pending.
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}
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@@ -3005,10 +3049,63 @@
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}
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}
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}
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function addCodeToSnapshot(code) {
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if (code === undefined) { return }
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try {
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let instructionsArray = code.split(' ')
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for (let i = 0; i < instructionsArray.length; i++) {
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let instruction = instructionsArray[i]
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instruction = instruction.replace('(', '')
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instruction = instruction.replace(')', '')
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instruction = instruction.replace(/</g, '')
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instruction = instruction.replace(/>/g, '')
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instruction = instruction.replace(/<=/g, '')
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instruction = instruction.replace(/>=/g, '')
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instruction = instruction.replace(/!=/g, '')
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instruction = instruction.replace(/!==/g, '')
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instruction = instruction.replace(/==/g, '')
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instruction = instruction.replace(/===/g, '')
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if (instruction.indexOf('chart') >= 0) {
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let parts = instruction.split('.')
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let timeFrame = parts[1]
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let product = parts[2]
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let property
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checkPrevious(3)
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function checkPrevious(index) {
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property = parts[index]
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if (property === 'previous') {
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product = product + '.previous'
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checkPrevious(index + 1)
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}
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}
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// Example: chart.at01hs.popularSMA.sma200 - chart.at01hs.popularSMA.sma100 < 10
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if (timeFrame !== 'atAnyTimeFrame') {
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timeFrame = timeFrame.substring(2, 4) + '-' + timeFrame.substring(4, 7)
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}
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let key = timeFrame + '-' + product + '-' + property
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let existingKey = snapshotKeys.get(key)
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if (existingKey === undefined) {// means that at the current loop this property of this product was not used before.
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snapshotKeys.set(key, key)
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snapshotLoopHeaders.push(key)
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let value = eval(instruction)
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snapshotDataRecord.push(value)
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}
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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] runSimulation -> addCodeToSnapshot -> code = " + code);
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logger.write(MODULE_NAME, "[ERROR] runSimulation -> addCodeToSnapshot -> 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 controlLoop() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> controlLoop -> Entering function."); }
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@@ -3114,7 +3211,7 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> callback -> recordsArray.length = " + recordsArray.length); }
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callback(tradingSystem, recordsArray, conditionsArray, strategiesArray, tradesArray);
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callback(tradingSystem, recordsArray, conditionsArray, strategiesArray, tradesArray, snapshotHeaders, triggerOnSnapshot, takePositionSnapshot);
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}
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function getElement(pArray, currentCandle, datasetName) {
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@@ -3156,6 +3253,7 @@
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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] runSimulation -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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