Implementation Finished
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Luis Fernando Molina committed
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@@ -18,29 +18,25 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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let chart
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let tradingSystem
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let tradingEngine
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let sessionParameters
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let conditions = new Map()
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let formulas = new Map()
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const TRADING_STRATEGY_MODULE = require('./TradingStrategy.js')
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let tradingStrategyModule = TRADING_STRATEGY_MODULE.newTradingStrategy(bot, logger, tradingEngineModule)
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const TRADING_POSITION_MODULE = require('./TradingPosition.js')
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let tradingPositionModule = TRADING_POSITION_MODULE.newTradingPosition(bot, logger, tradingEngineModule)
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const TRADING_ENGINE_EXECUTION = require('./TradingExecution.js')
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let tradingExecutionModule = TRADING_ENGINE_EXECUTION.newTradingExecution(bot, logger, tradingEngineModule)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
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const SNAPSHOTS_MODULE = require('./Snapshots.js')
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let snapshotsModule = SNAPSHOTS_MODULE.newSnapshots(bot, logger)
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const TRADING_ENGINE_EXECUTION = require('./TradingExecution.js')
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let tradingExecutionModule = TRADING_ENGINE_EXECUTION.newTradingExecution(bot, logger)
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return thisObject
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function initialize() {
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@@ -48,11 +44,35 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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tradingEngine = bot.simulationState.tradingEngine
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sessionParameters = bot.SESSION.parameters
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tradingSystem.conditions = new Map()
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tradingSystem.formulas = new Map()
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tradingStrategyModule.initialize()
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tradingPositionModule.initialize()
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announcementsModule.initialize()
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snapshotsModule.initialize()
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tradingExecutionModule.initialize()
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/* Adding Functions used elsewhere to Trading System Definition */
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tradingSystem.checkConditions = function (situation, passed) {
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/* Given a Situation, we check if all children conditions are true or not */
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for (let m = 0; m < situation.conditions.length; m++) {
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let condition = situation.conditions[m]
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let value = false
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if (tradingSystem.conditions.get(condition.id) !== undefined) {
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value = tradingSystem.conditions.get(condition.id)
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}
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if (value === true) {
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tradingSystem.highlights.push(condition.id)
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}
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else {
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passed = false
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}
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tradingSystem.values.push([condition.id, value])
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}
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return passed
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}
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}
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function finalize() {
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@@ -73,8 +93,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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chart = undefined
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conditions = undefined
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formulas = undefined
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tradingSystem.conditions = undefined
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tradingSystem.formulas = undefined
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tradingSystem.highlights = undefined
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tradingSystem.errors = undefined
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@@ -263,7 +283,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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}
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conditions.set(node.id, value)
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tradingSystem.conditions.set(node.id, value)
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if (value === true) {
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tradingSystem.highlights.push(node.id)
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@@ -304,7 +324,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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}
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formulas.set(node.id, value)
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tradingSystem.formulas.set(node.id, value)
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if (error !== undefined) {
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tradingSystem.errors.push([node.id, error])
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@@ -354,7 +374,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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passed = true
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}
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passed = checkConditions(situation, passed)
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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@@ -407,7 +427,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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passed = true
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}
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passed = checkConditions(situation, passed)
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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@@ -445,7 +465,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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passed = true
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}
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passed = checkConditions(situation, passed)
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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@@ -483,7 +503,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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}
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function openStage() {
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async function openStage() {
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/* Abort Open Stage Check */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Open' && tradingEngine.current.strategy.closeStageStatus.value === 'Open') {
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/*
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@@ -496,13 +516,14 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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/* Opening Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Opening') {
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/* Reset the Exchange Orders data structure to its initial value */
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tradingEngine.exchangeOrders.initialize(tradingEngine.exchangeOrders)
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/* This procedure is intended to run only once */
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let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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let executionNode = stageNode.openExecution
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/* Reset the Exchange Orders data structure to its initial value */
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tradingEngine.exchangeOrders.initialize(tradingEngine.exchangeOrders)
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evalConditions(stageNode, 'Initial Definition')
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evalFormulas(stageNode, 'Initial Definition')
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@@ -511,13 +532,15 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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calculateTakeProfit()
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calculateStopLoss()
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takePosition()
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/* Remember the balance we had before taking the position to later calculate profit or loss */
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tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
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tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
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/* Check Execution in opening stage mode */
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/* Check Execution in opening stage node */
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evalConditions(stageNode, 'Open Execution')
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evalFormulas(stageNode, 'Open Execution')
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checkExecution(executionNode, true, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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await tradingExecutionModule.checkExecution(executionNode, true, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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/* From here on, the state is officially Open */
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tradingStrategyModule.updateStageStatus('Open Stage', 'Open')
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@@ -537,7 +560,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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evalConditions(stageNode, 'Open Execution')
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evalFormulas(stageNode, 'Open Execution')
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checkExecution(executionNode, false, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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await tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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/*
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The Open is finished when the fillSize reaches the Position Size.
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@@ -552,7 +575,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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/* Closing Status Procedure */
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if (tradingEngine.current.strategy.openStageStatus.value === 'Closing') {
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/*
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During the closing status, we do not place new orders, just check
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During the closing stage status, we do not place new orders, just check
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if the ones placed were filled, and cancel the ones not filled.
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*/
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let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
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@@ -565,7 +588,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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evalConditions(stageNode, 'Open Execution')
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evalFormulas(stageNode, 'Open Execution')
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checkExecution(executionNode, false, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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await tradingExecutionModule.checkExecution(executionNode, false, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
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}
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/*
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@@ -584,9 +607,6 @@ 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. */
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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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@@ -602,7 +622,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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if (strategy.openStage.initialDefinition.positionSize === undefined) return DEFAULT_VALUE
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if (strategy.openStage.initialDefinition.positionSize.formula === undefined) return DEFAULT_VALUE
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let value = formulas.get(strategy.openStage.initialDefinition.positionSize.formula.id)
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let value = tradingSystem.formulas.get(strategy.openStage.initialDefinition.positionSize.formula.id)
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if (value === undefined) return DEFAULT_VALUE
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return value
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}
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@@ -616,30 +636,11 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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if (strategy.openStage.initialDefinition.positionRate === undefined) return DEFAULT_VALUE
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if (strategy.openStage.initialDefinition.positionRate.formula === undefined) return DEFAULT_VALUE
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let value = formulas.get(strategy.openStage.initialDefinition.positionRate.formula.id)
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let value = tradingSystem.formulas.get(strategy.openStage.initialDefinition.positionRate.formula.id)
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if (value === undefined) return DEFAULT_VALUE
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return value
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}
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}
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function takePosition() {
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tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
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tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
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let feePaid = 0
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.current.position.size.value
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} else {
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feePaid = tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.current.position.size.value
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}
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}
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}
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function manageStage() {
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@@ -714,7 +715,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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passed = true
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}
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passed = checkConditions(situation, passed)
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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@@ -744,7 +745,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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passed = true
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}
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passed = checkConditions(situation, passed)
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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@@ -821,7 +822,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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passed = true
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}
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passed = checkConditions(situation, passed)
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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@@ -851,7 +852,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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passed = true
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}
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passed = checkConditions(situation, passed)
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passed = tradingSystem.checkConditions(situation, passed)
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tradingSystem.values.push([situation.id, passed])
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if (passed) {
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@@ -927,7 +928,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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}
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function closeStage() {
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async function closeStage() {
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/* Opening Status Procedure */
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if (tradingEngine.current.strategy.closeStageStatus.value === 'Opening') {
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/*
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@@ -951,7 +952,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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evalConditions(stageNode, 'Close Execution')
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evalFormulas(stageNode, 'Close Execution')
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checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
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await tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
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/* Close the Stage Validation */
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if (tradingEngine.current.position.closeStageFilledSize.value === tradingEngine.current.position.openStageFilledSize.value) {
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@@ -976,18 +977,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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function exitPositionAndStrategy() {
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/* New Balances Calculation */
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let feePaid = 0
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = 0
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} else {
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feePaid = tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = 0
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}
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/* Needed for Episode Statistics */
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tradingPositionModule.updateStatistics()
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@@ -1064,7 +1053,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = tradingEngine.current.position.stopLoss.value
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tradingPositionModule.applyStopLossFormula(formulas, phase.formula.id)
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tradingPositionModule.applyStopLossFormula(tradingSystem.formulas, phase.formula.id)
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if (tradingEngine.current.position.stopLoss.value !== previousValue) {
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announcementsModule.makeAnnoucements(phase)
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@@ -1096,7 +1085,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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if (phase !== undefined) {
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if (phase.formula !== undefined) {
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let previousValue = tradingEngine.current.position.takeProfit.value
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tradingPositionModule.applyTakeProfitFormula(formulas, phase.formula.id)
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tradingPositionModule.applyTakeProfitFormula(tradingSystem.formulas, phase.formula.id)
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if (tradingEngine.current.position.takeProfit.value !== previousValue) {
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announcementsModule.makeAnnoucements(phase)
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@@ -1105,278 +1094,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
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}
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}
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function checkExecution(executionNode, stageIsOpening, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
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/* Enforcing Precision Limit */
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stageSizeLimit.value = global.PRECISE(stageSizeLimit.value, 10)
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stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
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stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
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checkExecutionAlgorithms(executionNode)
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function checkExecutionAlgorithms(executionNode) {
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for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
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let executionAlgorithm = executionNode.executionAlgorithms[i]
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checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
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checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
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checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
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checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
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}
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}
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function checkOrders(orders, executionAlgorithm, executionNode) {
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for (let i = 0; i < orders.length; i++) {
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let tradingSystemOrder = orders[i]
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/* Basic Validations */
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if (tradingSystemOrder.config.positionSizePercentage === undefined) { continue }
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if (tradingSystemOrder.referenceParent === undefined) { continue }
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let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
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if (tradingEngineOrder.identifier === undefined) { continue }
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if (tradingEngineOrder.begin === undefined) { continue }
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if (tradingEngineOrder.end === undefined) { continue }
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if (tradingEngineOrder.rate === undefined) { continue }
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if (tradingEngineOrder.size === undefined) { continue }
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if (tradingEngineOrder.status === undefined) { continue }
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if (tradingEngineOrder.algorithmName === undefined) { continue }
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if (tradingEngineOrder.orderCounters === undefined) { continue }
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if (tradingEngineOrder.orderCounters.periods === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.days === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.percentageFilled === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.actualRate === undefined) { continue }
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if (tradingEngineOrder.orderStatistics.feesPaid === undefined) { continue }
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switch (tradingEngineOrder.status.value) {
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case 'Not Open': {
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{
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/* Check if we need to Create this Order */
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if (stageIsClosing === true) { continue }
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let situationName = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
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if (situationName !== undefined) {
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/* Order Size Calculation */
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tradingEngineOrder.size.value = formulas.get(executionAlgorithm.positionSize.formula.id) * tradingSystemOrder.config.positionSizePercentage / 100
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if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit.value) {
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/* We reduce the size to the remaining size of the position. */
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||||
tradingEngineOrder.size.value = stageSizeLimit.value - stageOrdersSize.value
|
||||
tradingEngineOrder.size.value = global.PRECISE(tradingEngineOrder.size.value, 10)
|
||||
}
|
||||
|
||||
if (tradingEngineOrder.size.value <= 0) { continue }
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.episode.episodeCounters.orders.value++
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.createOrder.value = 1
|
||||
|
||||
/* Create Order Procedure */
|
||||
tradingEngineOrder.status.value = 'Open'
|
||||
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
|
||||
tradingEngineOrder.begin.value = tradingEngine.current.candle.begin.value
|
||||
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
|
||||
tradingEngineOrder.serialNumber.value = tradingEngine.episode.episodeCounters.orders.value
|
||||
tradingEngineOrder.orderName.value = tradingSystemOrder.name
|
||||
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
|
||||
tradingEngineOrder.situationName.value = situationName
|
||||
|
||||
/* Order Rate Calculation */
|
||||
tradingEngineOrder.rate.value = tradingEngine.current.position.rate.value // By default this is the order rate.
|
||||
if (tradingSystemOrder.positionRate !== undefined) {
|
||||
if (tradingSystemOrder.positionRate.formula !== undefined) {
|
||||
tradingEngineOrder.rate.value = formulas.get(tradingSystemOrder.positionRate.formula.id)
|
||||
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
|
||||
}
|
||||
}
|
||||
|
||||
/* Update State Orders Size */
|
||||
stageOrdersSize.value = stageOrdersSize.value + tradingEngineOrder.size.value
|
||||
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Open': {
|
||||
tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
|
||||
tradingEngineOrder.orderCounters.periods.value++
|
||||
tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
|
||||
|
||||
/* If the stage is closing we wont be moving or cancelling orders based on defined events */
|
||||
if (stageIsClosing !== true) {
|
||||
|
||||
/* Check if we need to Cancel this Order */
|
||||
let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
|
||||
if (situationName !== undefined) {
|
||||
|
||||
/* Since the order was cancelled, we remove the unfilled amount of the order from here */
|
||||
let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
|
||||
stageOrdersSize.value = stageOrdersSize.value - unfilledSize
|
||||
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
||||
|
||||
/* Cancel the Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Cancelled by Event'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.cancelOrder.value = 1
|
||||
break
|
||||
}
|
||||
|
||||
/* Check if we need to Move this Order */
|
||||
if (tradingSystemOrder.moveOrderEvents !== undefined) {
|
||||
for (let j = 0; j < tradingSystemOrder.moveOrderEvents.length; j++) {
|
||||
let moveOrderEvent = tradingSystemOrder.moveOrderEvents[j]
|
||||
let situationName = checkOrderEvent(moveOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
|
||||
if (situationName !== undefined) {
|
||||
if (moveOrderEvent.positionRate !== undefined) {
|
||||
if (moveOrderEvent.positionRate.formula !== undefined) {
|
||||
|
||||
/* Move Order to a different Rate */
|
||||
tradingEngineOrder.rate.value = formulas.get(moveOrderEvent.positionRate.formula.id)
|
||||
tradingEngineOrder.rate.value = global.PRECISE(tradingEngineOrder.rate.value, 10)
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.moveOrder.value = 1
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Simulate Events that happens at the Exchange, if needed. */
|
||||
if (stageIsOpening === false) {
|
||||
simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
case 'Backtesting Session': {
|
||||
break
|
||||
}
|
||||
case 'Live Trading Session': {
|
||||
return
|
||||
}
|
||||
case 'Fordward Testing Session': {
|
||||
return
|
||||
}
|
||||
case 'Paper Trading Session': {
|
||||
break
|
||||
}
|
||||
}
|
||||
|
||||
/* Filter by what is defined at the Strategy */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents === undefined) { return }
|
||||
|
||||
/* Partial Fill Simulation */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
|
||||
|
||||
/* Percentage Filled Calculation */
|
||||
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
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Filled'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
|
||||
/* Filled Size Calculation */
|
||||
stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * percentageFilled / 100
|
||||
stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
|
||||
|
||||
if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 0) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Cancelled by Closing Stage'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value > 0 && tradingEngineOrder.orderStatistics.percentageFilled.value < 100) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = 'Partially Filled'
|
||||
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
|
||||
/* Since the order was cancelled, we remove the unfilled amount of the order from here */
|
||||
let unfilledPercentage = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
let unfilledSize = tradingEngineOrder.size.value * unfilledPercentage / 100
|
||||
stageOrdersSize.value = stageOrdersSize.value - unfilledSize
|
||||
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Actual Rate Simulation */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
|
||||
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* Fees Paid Simulation */
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
|
||||
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
|
||||
if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
|
||||
tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function checkOrderEvent(event, order, executionAlgorithm, executionNode) {
|
||||
if (event !== undefined) {
|
||||
for (let k = 0; k < event.situations.length; k++) {
|
||||
let situation = event.situations[k]
|
||||
let passed
|
||||
if (situation.conditions.length > 0) {
|
||||
passed = true
|
||||
}
|
||||
|
||||
passed = checkConditions(situation, passed)
|
||||
|
||||
tradingSystem.values.push([situation.id, passed])
|
||||
if (passed) {
|
||||
tradingSystem.highlights.push(situation.id)
|
||||
tradingSystem.highlights.push(event.id)
|
||||
tradingSystem.highlights.push(order.id)
|
||||
tradingSystem.highlights.push(executionAlgorithm.id)
|
||||
tradingSystem.highlights.push(executionNode.id)
|
||||
|
||||
announcementsModule.makeAnnoucements(event)
|
||||
return situation.name // if the event is triggered, we return the name of the situation that passed
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function isItInside(elementWithTimestamp, elementWithBeginEnd) {
|
||||
/*
|
||||
The function is to allow in Conditions and Formulas to easily know when an element with timestamp (like the ones of single files) are inside the time range
|
||||
@@ -1388,25 +1105,5 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
return false
|
||||
}
|
||||
}
|
||||
|
||||
function checkConditions(situation, passed) {
|
||||
/* Given a Situation, we check if all children conditions are true or not */
|
||||
for (let m = 0; m < situation.conditions.length; m++) {
|
||||
|
||||
let condition = situation.conditions[m]
|
||||
let value = false
|
||||
if (conditions.get(condition.id) !== undefined) {
|
||||
value = conditions.get(condition.id)
|
||||
}
|
||||
if (value === true) {
|
||||
tradingSystem.highlights.push(condition.id)
|
||||
}
|
||||
else {
|
||||
passed = false
|
||||
}
|
||||
tradingSystem.values.push([condition.id, value])
|
||||
}
|
||||
return passed
|
||||
}
|
||||
}
|
||||
|
||||
Reference in new issue
Block a user