Code Polishing
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Luis Fernando Molina committed
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@@ -227,76 +227,117 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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let previousAmountReceived = tradingEngineOrder.orderStatistics.amountReceived.value
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let previousFeesPaid = tradingEngineOrder.orderStatistics.feesPaid.value
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/* Actual Rate Simulation */
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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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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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}
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}
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}
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/* Fees Paid Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
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}
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}
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} else {
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/* Fees are simulated based on the Session Paremeters */
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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break
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}
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case 'Limit Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.maker / 100
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break
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}
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}
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}
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/* Partial Fill Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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/* Percentage Filled */
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let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
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if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
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percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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}
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tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
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/* Check if we need to close */
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if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = 'Filled'
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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}
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}
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}
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/* Size Filled */
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tradingEngineOrder.orderStatistics.sizeFilled.value = tradingEngineOrder.size.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderStatistics.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.sizeFilled.value, 10)
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/* Amount Received */
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tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate
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tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
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actualRateSimulation()
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feesPaidSimulation()
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orderFillingSimulation()
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sizeFilledSimulation()
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amountReceivedSimulation()
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doTheAccounting(previousSizeFilled, previousPercentageFilled, previousAmountReceived, previousFeesPaid)
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/* If the Stage is Closing and this order is still open, we need to cancel it now */
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if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
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simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
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}
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function actualRateSimulation() {
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/* Actual Rate Simulation */
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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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}
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}
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} else {
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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 * bot.SESSION.parameters.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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}
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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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function feesPaidSimulation() {
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/* Fees Paid Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
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}
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}
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} else {
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/* Fees are simulated based on the Session Paremeters */
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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break
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}
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case 'Limit Order': {
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tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * bot.SESSION.parameters.feeStructure.config.maker / 100
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break
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}
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}
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}
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tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
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}
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function orderFillingSimulation() {
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/* Order Filling Simulation */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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/* Percentage Filled */
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let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
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if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
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percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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}
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tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
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tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
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/* Check if we need to close */
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if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
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/* Close this Order */
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tradingEngineOrder.status.value = 'Closed'
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tradingEngineOrder.exitType.value = 'Filled'
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/* Initialize this */
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tradingEngine.current.distanceToEvent.closeOrder.value = 1
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}
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}
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}
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}
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function sizeFilledSimulation() {
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/* Size Filled */
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tradingEngineOrder.orderStatistics.sizeFilled.value = tradingEngineOrder.size.value * tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderStatistics.sizeFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.sizeFilled.value, 10)
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}
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function amountReceivedSimulation() {
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/* Amount Received */
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tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate
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tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
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}
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}
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async function checkExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
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@@ -608,9 +608,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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/* Position size and rate */
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tradingPositionModule.updateSizeAndRate(getPositionSize(), getPositionRate())
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/* We take what was calculated at the formula of position rate and apply the slippage, if needed. */
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tradingPositionModule.applySlippageToRate()
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function getPositionSize() {
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let balance
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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