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Bug Fixes, related to Limit Orders

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This commit is contained in:
Luis Fernando Molina committed 2020-08-10 13:50:25 +02:00
1 parent d4af4a3865
commit 666e37bc6a
24 files changed
+209 -141
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AppSchema.json
+3 -3
View File
@@ -10449,7 +10449,7 @@
}
],
"initialValues": {
"config": "{\n\"positionSizePercentage\": 100, \n\"spawnMultipleOrders\": false \n}"
"config": "{\n\"percentageOfAlgorithmSize\": 100, \n\"spawnMultipleOrders\": false \n}"
},
"editors": {
"config": true
@@ -10532,7 +10532,7 @@
}
],
"initialValues": {
"config": "{\n\"positionSizePercentage\": 100, \n\"spawnMultipleOrders\": false \n}"
"config": "{\n\"percentageOfAlgorithmSize\": 100, \n\"spawnMultipleOrders\": false \n}"
},
"editors": {
"config": true
@@ -10625,7 +10625,7 @@
}
],
"initialValues": {
"config": "{\n\"positionSizePercentage\": 100, \n\"spawnMultipleOrders\": false \n}"
"config": "{\n\"percentageOfAlgorithmSize\": 100, \n\"spawnMultipleOrders\": false \n}"
},
"editors": {
"config": true
CanvasApp/DesignSpace/Workspace/FunctionLibraries/SessionFunctions.js
+1
View File
@@ -38,6 +38,7 @@ function newSessionFunctions() {
'Announcement->Announcement Formula->' +
'Open Execution->Close Execution->' +
'Execution Algorithm->Market Buy Order->Market Sell Order->Limit Buy Order->Limit Sell Order->' +
'Order Rate->Formula->' +
'Create Order Event->Cancel Order Event->' +
'Size In Base Asset->Size In Quoted Asset->Position Rate->Formula->' +
'Situation->Condition->Javascript Code->' +
CanvasApp/Plotting/Plotter.js
+11 -1
View File
@@ -282,8 +282,18 @@ function newPlotter() {
}
}
if (productDefinition.config.nodePathType === 'array') {
/*
When we have an array configuration, we know that the last field of the record
contains the array index, which is needed to correctly plot this data. Since
this index is not part of the product definition, we will restore its value in
this way:
*/
record.index = dataFile[i][recordDefinition.properties.length]
}
if (
(record.begin >= farLeftDate.valueOf() && record.end <= farRightDate.valueOf()) &&
(record.begin >= farLeftDate.valueOf() || record.end <= farRightDate.valueOf()) &&
(record.end >= coordinateSystem.min.x && record.begin <= coordinateSystem.max.x)
) {
record.previous = previous
CanvasApp/Plotting/RecordValues.js
+16 -3
View File
@@ -59,11 +59,15 @@ function newRecordValues() {
function scanProperties(productRootNode, index) {
for (let i = 0; i < productDefinition.record.properties.length; i++) {
let property = productDefinition.record.properties[i]
let key = property.id
if (index !== undefined) {
key = property.id + '-' + index
}
if (property.config.nodePath !== undefined) {
let propertyRoot = eval(property.config.nodePath)
propertyTargetNodeMap.set(property.id, propertyRoot)
propertyTargetNodeMap.set(key, propertyRoot)
} else {
propertyTargetNodeMap.set(property.id, productRootNode)
propertyTargetNodeMap.set(key, productRootNode)
}
}
}
@@ -74,7 +78,16 @@ function newRecordValues() {
for (let i = 0; i < productDefinition.record.properties.length; i++) {
let property = productDefinition.record.properties[i]
let value = currentRecord[property.config.codeName]
let targetNode = propertyTargetNodeMap.get(property.id)
let key = property.id
if (productDefinition.config.nodePathType === 'array') {
/*
When we have an array configuration, in this case we will use the index
property that was injected into the record in order to build the key to
get the node where we have to send the value.
*/
key = property.id + '-' + currentRecord.index
}
let targetNode = propertyTargetNodeMap.get(key)
/*
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,
Data-Mines/Masters-Trading.json
+1 -1
View File
@@ -1 +1 @@
{"type":"Data Mine","name":"Masters-Trading","config":"{ \n\"codeName\": \"Masters-Trading\"\n}","sensorBots":[],"indicatorBots":[],"tradingBots":[{"type":"Trading Bot","name":"Low Frequency","config":"{\n\"codeName\": \"Low-Frequency\"\n}","processes":[{"type":"Process Definition","name":"Trading","config":"{\n \"codeName\": \"Trading\",\n \"liveTradingWaitTime\": 0,\n \"paperTradingWaitTime\": 0,\n \"fordwardTestingWaitTime\": 0,\n \"backtestingWaitTime\": 0,\n \"sessionRunWaitTime\": 5000,\n \"retryWaitTime\": 10000,\n \"framework\": {\n \"name\": \"Low-Frequency-Trading-Process\"\n }\n }","processOutput":{"type":"Process Output","name":"New Process Output","outputDatasets":[{"type":"Output Dataset","name":"Multi-Period-Market Episode Counters","id":"6fc3054e-5034-4fc7-bddf-02360e0a6acf","savedPayload":{"position":{"x":15126.709841795062,"y":14115.844903867037},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"db063d7b-db05-4bf6-941f-999e1ccb38fc"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Counters","id":"c3c2240f-514b-40de-825f-674037117d0b","savedPayload":{"position":{"x":15060.50960648652,"y":13958.543096746436},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"0764aaaf-d970-4f23-9df8-55fe5b7dd273"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Statistics","id":"1dfdfc0d-842f-4e63-a591-256ac8a06b0f","savedPayload":{"position":{"x":15000.170158581612,"y":13798.909615340754},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"fc9dc0f7-35e0-4548-bb91-f920825d694f"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Statistics","id":"39360c55-5ba8-413b-b0bd-cac3789ebf5f","savedPayload":{"position":{"x":14945.771166150153,"y":13637.156840896287},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"91953362-8751-4440-a898-21245cd47c15"}}},{"type":"Output Dataset","name":"Multi-Period-Market Current Candle","id":"ba614415-6e4f-4979-97a5-34c72a59e67c","savedPayload":{"position":{"x":14897.386505301713,"y":13473.814926987687},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"17fb41f5-61b5-4433-9a10-950ff8216a7e"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Current Candle","id":"1a2e3461-33e6-45b1-bcc1-c56a8c5d275c","savedPayload":{"position":{"x":14855.08212849534,"y":13309.762335468542},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"bbc9467d-28bf-432b-9e49-582d1bcabfb9"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Balances","id":"567e4dc9-4deb-41e4-9ac9-dde943fb91ba","savedPayload":{"position":{"x":14818.915848183393,"y":13144.277773603595},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"acddff59-b51b-4b45-b58f-71d4077755ee"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Balances","id":"e94b9bb3-9f0c-4550-94e1-09de444780a8","savedPayload":{"position":{"x":14788.936996026083,"y":12977.582492132336},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"213b8fe8-f772-41ea-a3f5-97867be555f7"}}},{"type":"Output Dataset","name":"Multi-Period-Market Distance To Event","id":"a30e7306-7be9-41b6-Line truncated
{"type":"Data Mine","name":"Masters-Trading","config":"{ \n\"codeName\": \"Masters-Trading\"\n}","sensorBots":[],"indicatorBots":[],"tradingBots":[{"type":"Trading Bot","name":"Low Frequency","config":"{\n\"codeName\": \"Low-Frequency\"\n}","processes":[{"type":"Process Definition","name":"Trading","config":"{\n \"codeName\": \"Trading\",\n \"liveTradingWaitTime\": 0,\n \"paperTradingWaitTime\": 0,\n \"fordwardTestingWaitTime\": 0,\n \"backtestingWaitTime\": 0,\n \"sessionRunWaitTime\": 5000,\n \"retryWaitTime\": 10000,\n \"framework\": {\n \"name\": \"Low-Frequency-Trading-Process\"\n }\n }","processOutput":{"type":"Process Output","name":"New Process Output","outputDatasets":[{"type":"Output Dataset","name":"Multi-Period-Market Episode Counters","id":"6fc3054e-5034-4fc7-bddf-02360e0a6acf","savedPayload":{"position":{"x":15126.709841795062,"y":14115.844903867037},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"db063d7b-db05-4bf6-941f-999e1ccb38fc"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Counters","id":"c3c2240f-514b-40de-825f-674037117d0b","savedPayload":{"position":{"x":15060.50960648652,"y":13958.543096746436},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"0764aaaf-d970-4f23-9df8-55fe5b7dd273"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Statistics","id":"1dfdfc0d-842f-4e63-a591-256ac8a06b0f","savedPayload":{"position":{"x":15000.170158581612,"y":13798.909615340754},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"fc9dc0f7-35e0-4548-bb91-f920825d694f"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Statistics","id":"39360c55-5ba8-413b-b0bd-cac3789ebf5f","savedPayload":{"position":{"x":14945.771166150153,"y":13637.156840896287},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"91953362-8751-4440-a898-21245cd47c15"}}},{"type":"Output Dataset","name":"Multi-Period-Market Current Candle","id":"ba614415-6e4f-4979-97a5-34c72a59e67c","savedPayload":{"position":{"x":14897.386505301713,"y":13473.814926987687},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"17fb41f5-61b5-4433-9a10-950ff8216a7e"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Current Candle","id":"1a2e3461-33e6-45b1-bcc1-c56a8c5d275c","savedPayload":{"position":{"x":14855.08212849534,"y":13309.762335468542},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"bbc9467d-28bf-432b-9e49-582d1bcabfb9"}}},{"type":"Output Dataset","name":"Multi-Period-Market Episode Balances","id":"567e4dc9-4deb-41e4-9ac9-dde943fb91ba","savedPayload":{"position":{"x":14818.915848183393,"y":13144.277773603595},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Market","id":"acddff59-b51b-4b45-b58f-71d4077755ee"}}},{"type":"Output Dataset","name":"Multi-Period-Daily Episode Balances","id":"e94b9bb3-9f0c-4550-94e1-09de444780a8","savedPayload":{"position":{"x":14788.936996026083,"y":12977.582492132336},"targetPosition":{"x":19338.91372893721,"y":12256.290080293493},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Dataset Definition","name":"Multi-Period-Daily","id":"213b8fe8-f772-41ea-a3f5-97867be555f7"}}},{"type":"Output Dataset","name":"Multi-Period-Market Distance To Event","id":"a30e7306-7be9-41b6-Line truncated
Data-Mines/Masters.json
+1 -1
View File
@@ -1 +1 @@
{"type":"Data Mine","name":"Masters","config":"{\n\"codeName\": \"Masters\"\n}","sensorBots":[{"type":"Sensor Bot","name":"Exchange Raw Data","config":"{\n\"codeName\": \"Exchange-Raw-Data\",\n\"repo\": \"Exchange-Raw-Data-Sensor-Bot\"\n}","processes":[{"type":"Process Definition","name":"Historic-Trades","config":"{\n \"codeName\": \"Historic-Trades\",\n \"description\": \"Retrieves and saves the historical trades in batches going backwards from the current time until reaching the begining of the market.\",\n \"startMode\": {\n \"noTime\": {\n \"run\": \"true\"\n },\n \"fixedInterval\": {\n \"run\": \"false\",\n \"interval\": 0\n }\n },\n \"deadWaitTime\": 0,\n \"normalWaitTime\": 60000,\n \"retryWaitTime\": 10000\n}","processOutput":{"type":"Process Output","name":"New Process Output","outputDatasets":[],"id":"e3008f15-43ae-4452-9c28-bfbb6c1a5e84","savedPayload":{"position":{"x":13889.892304785908,"y":17976.7326423862},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false}}},"processDependencies":{"type":"Process Dependencies","name":"New Process Dependencies","statusDependencies":[{"type":"Status Dependency","name":"Self Reference","config":"{\n \"mainUtility\": \"Self Reference\"\n}","id":"f796022a-7871-4bde-bcc7-bcf2818f1eaf","savedPayload":{"position":{"x":14299.325525762739,"y":17993.12379366583},"targetPosition":{"x":13938.17907937083,"y":17993.12379366583},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":1,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Status Report","name":"New Status Report","id":"116834de-6646-4387-9f4b-4f711cea9235"}}}],"dataDependencies":[],"id":"1332b41e-7cd2-4e69-a40a-39ea47df67b5","savedPayload":{"position":{"x":13938.17907937083,"y":17993.12379366583},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false}}},"statusReport":{"type":"Status Report","name":"New Status Report","id":"116834de-6646-4387-9f4b-4f711cea9235","savedPayload":{"position":{"x":13983.913279342734,"y":18015.677405195172},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{}}},"executionStartedEvent":{"type":"Execution Started Event","name":"New Execution Started Event","id":"a9ea7169-fcd8-48c3-b0a9-b4e8941aa170","savedPayload":{"position":{"x":14026.312379860185,"y":18044.00757842793},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{}}},"executionFinishedEvent":{"type":"Execution Finished Event","name":"New Execution Finished Event","id":"51908884-c7a2-46ca-8a55-209070ae5fa6","savedPayload":{"position":{"x":14064.650920558077,"y":18077.62957624547},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{}}},"id":"7a6a9399-474f-4a93-bcbd-28a594ef1943","savedPayload":{"position":{"x":14351.93363503598,"y":18425.400341491753},"targetPosition":{"x":13888.04337325749,"y":18696.024787447222},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":true,"angleToParent":3,"distanceToParent":2,"arrangementStyle":0},"uiObject":{"isRunning":false}}},{"type":"Process Definition","name":"Historic-OHLCVs","config":"{\n \"codeName\": \"Historic-OHLCVs\",\n \"description\": \"Retrieves and saves historical maket data\",\n \"startMode\": {\n \"noTime\": {\n \"run\": \"true\"\n },\n \"fixedInterval\": {\n \"run\": \"false\",\n \"interval\": 0\n }\n },\n \"deadWaitTime\": 0,\n \"normalWaitTime\": 60000,\n \"retryWaitTime\": 10000\n}","processOutput":{"type":"Process Output","name":"New Process Output","outputDatasets":[],"id":"dfe2556e-a765-4e38-9d30-7f91090c0069","savedPayload":{"position":{"x":14546.018334597831,"y":18039.39680205973},"targetPosition":{"x":14407.127481538195,"y":18558.43550715096},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false}}},"processDependencies":{"type":"Process Dependencies","name":"New Process Dependencies","statusDependencies":[{"type":"Status Dependency","name":"Exchange Raw Data Historic-OHLCVs","config":"{\n \"mainUtility\": \"SLine truncated
{"type":"Data Mine","name":"Masters","config":"{\n\"codeName\": \"Masters\"\n}","sensorBots":[{"type":"Sensor Bot","name":"Exchange Raw Data","config":"{\n\"codeName\": \"Exchange-Raw-Data\",\n\"repo\": \"Exchange-Raw-Data-Sensor-Bot\"\n}","processes":[{"type":"Process Definition","name":"Historic-Trades","config":"{\n \"codeName\": \"Historic-Trades\",\n \"description\": \"Retrieves and saves the historical trades in batches going backwards from the current time until reaching the begining of the market.\",\n \"startMode\": {\n \"noTime\": {\n \"run\": \"true\"\n },\n \"fixedInterval\": {\n \"run\": \"false\",\n \"interval\": 0\n }\n },\n \"deadWaitTime\": 0,\n \"normalWaitTime\": 60000,\n \"retryWaitTime\": 10000\n}","processOutput":{"type":"Process Output","name":"New Process Output","outputDatasets":[],"id":"e3008f15-43ae-4452-9c28-bfbb6c1a5e84","savedPayload":{"position":{"x":13889.892304785908,"y":17976.7326423862},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false}}},"processDependencies":{"type":"Process Dependencies","name":"New Process Dependencies","statusDependencies":[{"type":"Status Dependency","name":"Self Reference","config":"{\n \"mainUtility\": \"Self Reference\"\n}","id":"f796022a-7871-4bde-bcc7-bcf2818f1eaf","savedPayload":{"position":{"x":14299.325525762739,"y":17993.12379366583},"targetPosition":{"x":13938.17907937083,"y":17993.12379366583},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":1,"distanceToParent":3,"arrangementStyle":0},"uiObject":{},"referenceParent":{"type":"Status Report","name":"New Status Report","id":"116834de-6646-4387-9f4b-4f711cea9235"}}}],"dataDependencies":[],"id":"1332b41e-7cd2-4e69-a40a-39ea47df67b5","savedPayload":{"position":{"x":13938.17907937083,"y":17993.12379366583},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false}}},"statusReport":{"type":"Status Report","name":"New Status Report","id":"116834de-6646-4387-9f4b-4f711cea9235","savedPayload":{"position":{"x":13983.913279342734,"y":18015.677405195172},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{}}},"executionStartedEvent":{"type":"Execution Started Event","name":"New Execution Started Event","id":"a9ea7169-fcd8-48c3-b0a9-b4e8941aa170","savedPayload":{"position":{"x":14026.312379860185,"y":18044.00757842793},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{}}},"executionFinishedEvent":{"type":"Execution Finished Event","name":"New Execution Finished Event","id":"51908884-c7a2-46ca-8a55-209070ae5fa6","savedPayload":{"position":{"x":14064.650920558077,"y":18077.62957624547},"targetPosition":{"x":13788.99537092664,"y":18353.285125876908},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":4,"distanceToParent":3,"arrangementStyle":0},"uiObject":{}}},"id":"7a6a9399-474f-4a93-bcbd-28a594ef1943","savedPayload":{"position":{"x":14351.93363503598,"y":18425.400341491753},"targetPosition":{"x":13888.04337325749,"y":18696.024787447222},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":true,"angleToParent":3,"distanceToParent":2,"arrangementStyle":0},"uiObject":{"isRunning":false}}},{"type":"Process Definition","name":"Historic-OHLCVs","config":"{\n \"codeName\": \"Historic-OHLCVs\",\n \"description\": \"Retrieves and saves historical maket data\",\n \"startMode\": {\n \"noTime\": {\n \"run\": \"true\"\n },\n \"fixedInterval\": {\n \"run\": \"false\",\n \"interval\": 0\n }\n },\n \"deadWaitTime\": 0,\n \"normalWaitTime\": 60000,\n \"retryWaitTime\": 10000\n}","processOutput":{"type":"Process Output","name":"New Process Output","outputDatasets":[],"id":"dfe2556e-a765-4e38-9d30-7f91090c0069","savedPayload":{"position":{"x":14546.018334597831,"y":18039.39680205973},"targetPosition":{"x":14407.127481538195,"y":18558.43550715096},"floatingObject":{"isPinned":false,"isFrozen":false,"isCollapsed":false,"angleToParent":2,"distanceToParent":3,"arrangementStyle":0},"uiObject":{"isRunning":false}}},"processDependencies":{"type":"Process Dependencies","name":"New Process Dependencies","statusDependencies":[{"type":"Status Dependency","name":"Exchange Raw Data Historic-OHLCVs","config":"{\n \"mainUtility\": \"SLine truncated
My-Workspaces/Beta 6 - Testing WHB.json
+1 -1
View File
@@ -1 +1 @@
{"type":"Workspace","name":"Beta 6 - Testing WHB","rootNodes":[{"type":"Network","name":"Superalgos","networkNodes":[{"type":"Network Node","name":"My Computer","config":"{ \n\"host\": \"localhost\", \n\"webPort\": \"34248\", \n\"webSocketsPort\": \"8081\"\n}","dataStorage":{"type":"Data Storage","name":"New Data Storage","sessionIndependentData":{"type":"Session Independent Data","name":"New Session Independent Data","exchangeDataProducts":[{"type":"Exchange Data Products","name":"Binance","singleMarketData":[{"type":"Single Market Data","name":"Binance BTC/USDT","dataProducts":[{"type":"Data 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{"type":"Workspace","name":"Beta 6 - Testing WHB","rootNodes":[{"type":"Network","name":"Superalgos","networkNodes":[{"type":"Network Node","name":"My Computer","config":"{ \n\"host\": \"localhost\", \n\"webPort\": \"34248\", \n\"webSocketsPort\": \"8081\"\n}","dataStorage":{"type":"Data Storage","name":"New Data Storage","sessionIndependentData":{"type":"Session Independent Data","name":"New Session Independent Data","exchangeDataProducts":[{"type":"Exchange Data Products","name":"Binance","singleMarketData":[{"type":"Single Market Data","name":"Binance BTC/USDT","dataProducts":[{"type":"Data 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TaskServer/Commons.js
+1 -1
View File
@@ -75,7 +75,7 @@
return
}
if (outputDatasetNode.referenceParent.parentNode.dataBuilding === undefined) {
logger.write(MODULE_NAME, "[WARN] start -> Product Definition " + outputDatasetNode.referenceParent.parentNode.name + " without a Data Building Procedure. Product Definition = " + JSON.stringify(outputDatasetNode.referenceParent.parentNode));
logger.write(MODULE_NAME, "[WARN] start -> Product Definition " + outputDatasetNode.referenceParent.parentNode.name + " without a Data Building Procedure. Product Definition Name = " + outputDatasetNode.referenceParent.parentNode.name);
}
if (outputDatasetNode.referenceParent.config.codeName === undefined) {
logger.write(MODULE_NAME, "[ERROR] start -> Dataset witn no codeName defined. Product Dataset = " + JSON.stringify(outputDatasetNode.referenceParent));
TaskServer/DataDependencies.js
+7 -13
View File
@@ -4,12 +4,12 @@
const LOG_FILE_CONTENT = false;
const MODULE_NAME = "Data Dependencies";
let bot = BOT
let bot = BOT
let thisObject = {
nodeArray: undefined,
dataSetsModulesArray: [],
isItADepenency: isItADepenency,
isItADepenency: isItADepenency,
initialize: initialize,
finalize: finalize
};
@@ -21,9 +21,6 @@
function initialize(callBackFunction) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
/* Basic Valdidations */
if (bot.processNode.referenceParent.processDependencies !== undefined) {
if (bot.processNode.referenceParent.processDependencies.dataDependencies !== undefined) {
@@ -51,7 +48,7 @@
if (bot.DEPENDENCY_FILTER !== undefined) {
for (let i = 0; i < bot.DEPENDENCY_FILTER.length; i++) {
let key = bot.DEPENDENCY_FILTER[i]
filter.set(key, true)
filter.set(key, true)
}
}
@@ -70,7 +67,7 @@
function onInitilized(err) {
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] initialize -> onInitilized -> err = "+ JSON.stringify(err));
logger.write(MODULE_NAME, "[ERROR] initialize -> onInitilized -> err = " + JSON.stringify(err));
alreadyCalledBack = true;
callBackFunction(err);
@@ -81,9 +78,6 @@
}
function addDataSet() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> addDataSet -> Entering function."); }
addCount++;
thisObject.dataSetsModulesArray.push(dataSetModule);
@@ -99,14 +93,14 @@
}
} catch (err) {
logger.write(MODULE_NAME, "[ERROR] initialize -> err = "+ err.stack);
logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function finalize() {
for (let i = 0; i < thisObject.dataSetsModulesArray.length; i++) {
let dataSetModule = thisObject.dataSetsModulesArray[i]
let dataSetModule = thisObject.dataSetsModulesArray[i]
dataSetModule.finalize()
}
thisObject.dataSetsModulesArray = undefined
@@ -115,7 +109,7 @@
}
function isItADepenency(timeFrame, product) {
let key = timeFrame + '-' + product
let key = timeFrame + '-' + product
return filter.get(key)
}
TaskServer/DataSet.js
-3
View File
@@ -23,9 +23,6 @@ exports.newDataSet = function newDataSet(BOT, logger) {
function initialize(dataDependency, callBackFunction) {
try {
if (global.LOG_CONTROL[MODULE_NAME].logInfo === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
thisObject.node = dataDependency.referenceParent;
logger.fileName = MODULE_NAME + "." + thisObject.node.type + "." + thisObject.node.name + "." + thisObject.node.id;
TaskServer/FileStorage.js
-3
View File
@@ -31,9 +31,6 @@ exports.newFileStorage = function newFileStorage(logger, host, port) {
recursiveGetTextFile(filePath, callBackFunction, noRetry, canUsePrevious)
function recursiveGetTextFile(filePath, callBackFunction, noRetry, canUsePrevious) {
logger.write(MODULE_NAME, '[INFO] FileStorage -> getTextFile -> Entering Function.')
let fileDoesNotExist = false
/* Choose path for either bots or data */
TaskServer/IndicatorOutput.js
-4
View File
@@ -24,14 +24,10 @@
}
function initialize(callBackFunction) {
try {
logger.fileName = MODULE_NAME;
logger.initialize();
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
callBackFunction(global.DEFAULT_OK_RESPONSE);
} catch (err) {
TaskServer/LowFrequencyTrading/TradingEngine.js
+40 -2
View File
@@ -9,6 +9,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
getNodeById: getNodeById,
cloneValues: cloneValues,
setCurrentCandle: setCurrentCandle,
initializeNode: initializeNode,
initialize: initialize,
finalize: finalize
}
@@ -24,6 +25,8 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
tradingEngine = bot.simulationState.tradingEngine
sessionParameters = bot.SESSION.parameters
initializeNodeMap(tradingEngine)
if (bot.FIRST_EXECUTION === true) {
/*
Here we will go through all the nodes in the Trading Engine hiriarchy and
@@ -97,18 +100,53 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
}
}
function initializeNode(node) {
function initializeNodeMap(node) {
if (node === undefined) { return }
/* Add to Node Map */
nodesMap.set(node.id, node)
/* Now we go down through all this node children */
let nodeDefinition = bot.APP_SCHEMA_MAP.get(node.type)
if (nodeDefinition === undefined) { return }
if (nodeDefinition.properties !== undefined) {
let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children.
for (let i = 0; i < nodeDefinition.properties.length; i++) {
let property = nodeDefinition.properties[i]
switch (property.type) {
case 'node': {
if (property.name !== previousPropertyName) {
if (node[property.name] !== undefined) {
initializeNodeMap(node[property.name])
}
previousPropertyName = property.name
}
break
}
case 'array': {
if (node[property.name] !== undefined) {
let nodePropertyArray = node[property.name]
for (let m = 0; m < nodePropertyArray.length; m++) {
initializeNodeMap(nodePropertyArray[m])
}
}
break
}
}
}
}
}
function initializeNode(node) {
if (node === undefined) { return }
/* Here we initialize the node value */
if (node.config !== undefined) {
if (node.config.initialValue !== undefined) {
node.value = node.config.initialValue
}
}
node.initialize = initializeNode // This will allow anyone to initialize this node and its children.
/* Now we go down through all this node children */
let nodeDefinition = bot.APP_SCHEMA_MAP.get(node.type)
TaskServer/LowFrequencyTrading/TradingEpisode.js
+2 -2
View File
@@ -1,4 +1,4 @@
exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
exports.newTradingEpisode = function newTradingEpisode(bot, logger, tradingEngineModule) {
/*
This module packages all functions related to Episodes.
*/
@@ -76,7 +76,7 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
}
function resetEpisode() {
tradingEngine.current.episode.initialize(tradingEngine.current.episode)
tradingEngineModule.initializeNode(tradingEngine.current.episode)
}
function updateEnds() {
TaskServer/LowFrequencyTrading/TradingOrders.js
+73 -41
View File
@@ -78,7 +78,12 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
let tradingSystemOrder = orders[i]
if (tradingSystemOrder.referenceParent === undefined) { continue }
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
if (tradingEngineOrder.status === undefined) { continue }
try {
if (tradingEngineOrder.status === undefined) { continue }
} catch (err) {
console.log(err.stack)
}
updateCounters(tradingEngineOrder)
updateEnds(tradingEngineOrder)
@@ -93,9 +98,9 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
for (let i = 0; i < orders.length; i++) {
let tradingSystemOrder = orders[i]
tradingSystemValidations(tradingSystemOrder)
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
definitionValidations(tradingSystemOrder, tradingEngineOrder)
tradingEngineValidations(tradingEngineOrder)
switch (tradingEngineOrder.status.value) {
case 'Not Open': {
@@ -142,7 +147,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
if (situationName !== undefined) {
/* Simulate Order Cancelation, if needed. */
simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
/* Cancel the order at the Exchange, if needed. */
await exchangeCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
@@ -153,11 +158,13 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
}
}
function definitionValidations(tradingSystemOrder, tradingEngineOrder) {
function tradingSystemValidations(tradingSystemOrder) {
/* Trading System Validations */
if (tradingSystemOrder.config.percentageOfAlgorithmSize === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.config.percentageOfAlgorithmSize === undefined', tradingSystemOrder) }
if (tradingSystemOrder.referenceParent === undefined) { badDefinitionUnhandledException(undefined, 'tradingSystemOrder.referenceParent === undefined', tradingSystemOrder) }
}
function tradingEngineValidations(tradingEngineOrder) {
/* Trading Engine Order Validations */
if (tradingEngineOrder.serialNumber === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.serialNumber === undefined', tradingEngineOrder) }
if (tradingEngineOrder.identifier === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.identifier === undefined', tradingEngineOrder) }
@@ -180,7 +187,6 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
if (tradingEngineOrder.orderQuotedAsset.size === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.size === undefined', tradingEngineOrder) }
if (tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.sizeFilled === undefined', tradingEngineOrder) }
if (tradingEngineOrder.orderQuotedAsset.feesPaid === undefined) { badDefinitionUnhandledException(undefined, 'tradingEngineOrder.orderQuotedAsset.feesPaid === undefined', tradingEngineOrder) }
}
async function tryToOpenOrder(tradingEngineStage, executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
@@ -343,7 +349,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
/* If the Stage is Closing and this order is still open, we need to cancel it now */
if (tradingEngineStage.status.value === 'Closing' && tradingEngineOrder.status.value !== 'Closed') {
simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
}
function actualRateSimulation() {
@@ -453,28 +459,54 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
}
function percentageFilledSimulation() {
/* Order Filling Simulation */
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
/* Percentage Filled */
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
/*
Order Filling Simulation: the way we are going to handle this is the following.
For buy orders we are going to check if the price was below the order rate, and
for sell orders we are going to check if the price was above the order rate.
If we have a partial filling defined we are going to use it to estimate how much
of the order we will consider filled.
*/
let orderWasHit
switch (tradingSystemOrder.type) {
case 'Limit Buy Order': {
if (tradingEngine.current.episode.candle.min.value <= tradingEngineOrder.rate.value) {
orderWasHit = true
}
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
/* Check if we need to close */
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
/* Close this Order */
tradingEngineOrder.status.value = 'Closed'
tradingEngineOrder.exitType.value = 'Filled'
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
break
}
case 'Limit Sell Order': {
if (tradingEngine.current.episode.candle.max.value >= tradingEngineOrder.rate.value) {
orderWasHit = true
}
break
}
}
if (orderWasHit === true) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
/* Percentage Filled */
let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
}
tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
}
} else {
/* We will assume that 100% of the order was filled */
tradingEngineOrder.orderStatistics.percentageFilled.value = 100
}
/* Check if we need to close the order */
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
/* Close this Order */
tradingEngineOrder.status.value = 'Closed'
tradingEngineOrder.exitType.value = 'Filled'
/* Initialize this */
tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
}
}
}
@@ -728,7 +760,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
}
function simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
function simulateCancelOrder(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, exitType) {
/* Filter by Session Type */
switch (bot.SESSION.type) {
@@ -801,30 +833,30 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
function recalculateStageSize(tradingEngineStage, tradingEngineOrder) {
/*
Since the order is Cancelled, we need to adjust the stage size. Remember that the Stage Size
accumulates for each asset, the order size placed at the exchange. A cancelation means that
Since the order is Cancelled, we need to adjust the stage sizePlaced. Remember that the Stage
Size Placed accumulates for each asset, the order size placed at the exchange. A cancelation means that
only the part filled can be considered placed, so we need to substract from the stage size
the remainder. To achieve this with the information we currently have, we are going first
to unaccount the order size, and the account only the sizeFilled + the feesPaid.
*/
tradingEngineStage.stageBaseAsset.size.value =
tradingEngineStage.stageBaseAsset.size.value -
tradingEngineStage.stageBaseAsset.sizePlaced.value =
tradingEngineStage.stageBaseAsset.sizePlaced.value -
tradingEngineOrder.orderBaseAsset.size.value
tradingEngineStage.stageQuotedAsset.size.value =
tradingEngineStage.stageQuotedAsset.size.value -
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
tradingEngineStage.stageQuotedAsset.sizePlaced.value -
tradingEngineOrder.orderQuotedAsset.size.value
tradingEngineStage.stageBaseAsset.size.value =
tradingEngineStage.stageBaseAsset.size.value +
tradingEngineStage.stageBaseAsset.sizePlaced.value =
tradingEngineStage.stageBaseAsset.sizePlaced.value +
tradingEngineOrder.orderBaseAsset.sizeFilled.value +
tradingEngineOrder.orderBaseAsset.feesPaid.value
tradingEngineStage.stageQuotedAsset.size.value =
tradingEngineStage.stageQuotedAsset.size.value +
tradingEngineStage.stageQuotedAsset.sizePlaced.value =
tradingEngineStage.stageQuotedAsset.sizePlaced.value +
tradingEngineOrder.orderQuotedAsset.sizeFilled.value +
tradingEngineOrder.orderQuotedAsset.feesPaid.value
tradingEngineStage.stageBaseAsset.size.value = global.PRECISE(tradingEngineStage.stageBaseAsset.size.value, 10)
tradingEngineStage.stageQuotedAsset.size.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.size.value, 10)
tradingEngineStage.stageBaseAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageBaseAsset.sizePlaced.value, 10)
tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
}
function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
@@ -873,7 +905,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
function resetTradingEngineDataStructure(tradingEngineOrder, tradingSystemOrder, stageStatus) {
if (tradingEngineOrder.status.value === 'Closed') {
/* We reset the order data structure inside the Trading Engine to its initial value */
tradingEngineOrder.initialize(tradingEngineOrder)
tradingEngineModule.initializeNode(tradingEngineOrder)
if (tradingSystemOrder.config.spawnMultipleOrders !== true) {
/*
We close the lock so as to prevent this data structure to be used again during this same stage execution.
TaskServer/LowFrequencyTrading/TradingPosition.js
+1 -1
View File
@@ -238,7 +238,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
function resetTradingEngineDataStructure() {
if (tradingEngine.current.position.status.value === 'Closed') {
tradingEngine.current.position.initialize(tradingEngine.current.position)
tradingEngineModule.initializeNode(tradingEngine.current.position)
}
}
TaskServer/LowFrequencyTrading/TradingRecords.js
+42 -17
View File
@@ -89,7 +89,14 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
*/
let productRootNode = productRoot[index]
let record = scanRecordDefinition(product, productRootNode, index)
persistIndividualRecord(record, product, outputDatasetArray)
if (record !== undefined) {
/*
We will add the index value to the record itself, so that the plotter can know to which
brach of the trading engine data structure it belongs.
*/
record.push(index)
persistIndividualRecord(record, product, outputDatasetArray)
}
}
} else {
/*
@@ -101,7 +108,9 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
*/
let productRootNode = productRoot
let record = scanRecordDefinition(product, productRootNode)
persistIndividualRecord(record, product, outputDatasetArray)
if (record !== undefined) {
persistIndividualRecord(record, product, outputDatasetArray)
}
}
}
}
@@ -192,6 +201,13 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
value = targetNode
}
}
/* We are not going to add records where the begin or end are missing */
if (
recordProperty.config.codeName === 'begin' && value === 0 ||
recordProperty.config.codeName === 'end' && value === 0
) { return }
if (recordProperty.config.isString !== true && Array.isArray(value) !== true) {
value = safeNumericValue(value)
}
@@ -213,27 +229,36 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
let propertyValue = record[j]
if (bot.processingDailyFiles) {
/*
When dealing with Daily Files, we need to avoid to write an open object at the last 'candle' of the day,
since the object will be duplicated on the next day. How do we know we are positioned at the last candle
of the day? Easy: the end of the candle must be 1 millisecod before the next day. That happens at any
time frame.
*/
let currentDay = new Date(tradingEngine.current.episode.candle.end.value)
let nextDay = new Date(tradingEngine.current.episode.candle.end.value + 1)
if (currentDay.getUTCDate() !== nextDay.getUTCDate()) {
/*
We will save the object only if it is closed, becasuse we are at the last candle of the day.
if (product.config.doNotCutObjectInDays !== true) {
/*
By default we will cut objects in days.
*/
if (propertyValue === product.config.propertyValueThatClosesObject) {
if (propertyValue !== product.config.propertyValueThatPreventsSavingObject) {
outputDatasetArray.push(record)
}
} else {
/*
When we are not at the end of the day, we will save the object normally, like in market files.
When dealing with Daily Files, we need to avoid to write an open object at the last 'candle' of the day,
since the object will be duplicated on the next day. How do we know we are positioned at the last candle
of the day? Easy: the end of the candle must be 1 millisecod before the next day. That happens at any
time frame.
*/
if (propertyValue !== product.config.propertyValueThatPreventsSavingObject) {
outputDatasetArray.push(record)
let currentDay = new Date(tradingEngine.current.episode.candle.end.value)
let nextDay = new Date(tradingEngine.current.episode.candle.end.value + 1)
if (currentDay.getUTCDate() !== nextDay.getUTCDate()) {
/*
We will save the object only if it is closed, becasuse we are at the last candle of the day.
*/
if (propertyValue === product.config.propertyValueThatClosesObject) {
outputDatasetArray.push(record)
}
} else {
/*
When we are not at the end of the day, we will save the object normally, like in market files.
*/
if (propertyValue !== product.config.propertyValueThatPreventsSavingObject) {
outputDatasetArray.push(record)
}
}
}
}
TaskServer/LowFrequencyTrading/TradingSimulation.js
+2 -2
View File
@@ -47,7 +47,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
tradingSystemModule.initialize()
const TRADING_EPISODE_MODULE = require('./TradingEpisode.js')
let tradingEpisodeModule = TRADING_EPISODE_MODULE.newTradingEpisode(bot, logger)
let tradingEpisodeModule = TRADING_EPISODE_MODULE.newTradingEpisode(bot, logger, tradingEngineModule)
tradingEpisodeModule.initialize()
/* Setting up the candles array: The whole simulation is based on the array of candles at the time-frame defined at the session parameters. */
@@ -177,7 +177,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
setImmediate(loop) // This will execute the next loop in the next iteration of the NodeJs event loop allowing for other callbacks to be executed.
} else {
closeEpisode('All Candles Processed')
updateEpisode('All Candles Processed')
}
}
TaskServer/LowFrequencyTrading/TradingStages.js
+2 -2
View File
@@ -269,7 +269,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
let executionNode = stageNode.openExecution
/* Reset the Exchange Orders data structure to its initial value */
tradingEngine.exchangeOrders.initialize(tradingEngine.exchangeOrders)
tradingEngineModule.initializeNode(tradingEngine.exchangeOrders)
tradingSystem.evalConditions(stageNode, 'Initial Definition')
tradingSystem.evalFormulas(stageNode, 'Initial Definition')
@@ -1066,7 +1066,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
}
function resetStage(stage) {
stage.initialize(stage)
tradingEngineModule.initializeNode(stage)
}
}
TaskServer/LowFrequencyTrading/TradingStrategy.js
+1 -1
View File
@@ -65,7 +65,7 @@ exports.newTradingStrategy = function newTradingStrategy(bot, logger, tradingEng
function resetTradingEngineDataStructure() {
if (tradingEngine.current.strategy.status.value === 'Closed') {
tradingEngine.current.strategy.initialize(tradingEngine.current.strategy)
tradingEngineModule.initializeNode(tradingEngine.current.strategy)
}
}
TaskServer/ProcessExecutionEvents.js
-4
View File
@@ -29,11 +29,7 @@
return thisObject;
function initialize(callBackFunction) {
try {
if (global.LOG_CONTROL[MODULE_NAME].logInfo === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
let name = 'Not Depends on any Process'
logger.fileName = MODULE_NAME + "." + name;
TaskServer/Root.js
+4 -25
View File
@@ -56,50 +56,29 @@
/* Global control of logging. */
global.LOG_CONTROL = {
"Assistant": {
logInfo: true,
logWarnings: false,
logErrors: true,
logContent: false,
intensiveLogging: false
},
"Exchange API": {
logInfo: true,
logWarnings: false,
logErrors: true,
logContent: false,
intensiveLogging: false
},
"Status Report": {
logInfo: true,
logInfo: false,
logWarnings: false,
logErrors: true,
logContent: false,
intensiveLogging: false
},
"Dataset": {
logInfo: true,
logWarnings: false,
logErrors: true,
logContent: false,
intensiveLogging: false
},
"Context": {
logInfo: true,
logInfo: false,
logWarnings: false,
logErrors: true,
logContent: false,
intensiveLogging: false
},
"Process Execution Events": {
logInfo: true,
logInfo: false,
logWarnings: false,
logErrors: true,
logContent: false,
intensiveLogging: false
},
"Process Output": {
logInfo: true,
logInfo: false,
logWarnings: false,
logErrors: true,
logContent: false,
TaskServer/StatusDependencies.js
-7
View File
@@ -18,11 +18,7 @@
return thisObject;
function initialize(callBackFunction) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
/* Basic Valdidations */
if (bot.processNode.referenceParent.processDependencies !== undefined) {
if (bot.processNode.referenceParent.processDependencies.statusDependencies !== undefined) {
@@ -88,9 +84,6 @@
switch (err.message) {
case global.DEFAULT_OK_RESPONSE.message: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> onLoad -> Execution finished well. -> Status Dependency = " + JSON.stringify(statusDependency.dependency)) }
addReport();
return;
}
TaskServer/StatusReport.js
-3
View File
@@ -39,10 +39,7 @@
return thisObject;
function initialize(pStatusDependencyNode, callBackFunction) {
try {
if (global.LOG_CONTROL[MODULE_NAME].logInfo === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); }
statusDependencyNode = pStatusDependencyNode;
logger.fileName = MODULE_NAME + "." + statusDependencyNode.type + "." + statusDependencyNode.name + "." + statusDependencyNode.id;