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Dependencies Filters Implemented

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This commit is contained in:
Luis Fernando Molina committed 2020-04-18 16:22:14 +02:00
1 parent 986f1cc7a1
commit 6ed401c50f
8 files changed
+148 -38
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TaskServer/DataDependencies.js
+18 -2
View File
@@ -9,9 +9,12 @@
let thisObject = {
nodeArray: undefined,
dataSetsModulesArray: [],
isItADepenency: isItADepenency,
initialize: initialize
};
let filter = new Map()
return thisObject;
function initialize(callBackFunction) {
@@ -42,10 +45,17 @@
callBackFunction(global.DEFAULT_OK_RESPONSE);
return;
}
/* Session based dependency filters */
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)
}
}
/*
For each dependency declared at the nodeArray, we will initialize a DataSet as part of this initialization process.
*/
let alreadyCalledBack = false;
let addCount = 0;
@@ -92,4 +102,10 @@
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function isItADepenency(timeFrame, product) {
let key = timeFrame + '-' + product
return filter.get(key)
}
};
TaskServer/MultiPeriod.js
+38 -30
View File
@@ -71,7 +71,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); }
let currentTimeFrame
let currentOutputPeriodName
let currentTimeFrameLabel
let market = bot.market;
let botNeverRan = true;
@@ -246,21 +246,21 @@
getFile();
function getFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processSingleFiles -> dependencyLoopBody -> getFile -> Entering function."); }
let fileName = "Data.json";
if (datasetModule.node.code.codeName !== "Single-File") {
dependencyControlLoop();
return
}
let filePath = datasetModule.node.parentNode.code.codeName + '/' + datasetModule.node.code.codeName;
if (dataDependenciesModule.isItADepenency('atAnyTimeFrame', datasetModule.node.parentNode.code.singularVariableName) !== true) {
dependencyControlLoop();
return
}
let fileName = "Data.json";
let filePath = datasetModule.node.parentNode.code.codeName + '/' + datasetModule.node.code.codeName;
datasetModule.getTextFile(filePath, fileName, onFileReceived);
function onFileReceived(err, text) {
@@ -356,9 +356,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processMarketFiles -> timeFramesLoop -> Entering function."); }
/*
We will iterate through all posible timeFrames.
*/
n = 0 // loop Variable representing each possible period as defined at the timeFrames array.
@@ -386,7 +384,7 @@
if (bot.VALUES_TO_USE.timeFrame === timeFrameLabel) {
currentTimeFrame = global.marketFilesPeriods[n][0];
currentOutputPeriodName = global.marketFilesPeriods[n][1];
currentTimeFrameLabel = global.marketFilesPeriods[n][1];
}
dependencyLoopBody();
@@ -402,21 +400,23 @@
getFile();
function getFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processMarketFiles -> timeFramesLoopBody -> dependencyLoopBody -> getFile -> Entering function."); }
let fileName = "Data.json";
if (dependency.referenceParent.code.codeName !== "Multi-Period-Market") {
dependencyControlLoop();
return
}
let filePath = dependency.referenceParent.parentNode.code.codeName + '/' + dependency.referenceParent.code.codeName + "/" + timeFrameLabel;
if (dataDependenciesModule.isItADepenency(timeFrameLabel, datasetModule.node.parentNode.code.singularVariableName) !== true) {
if (!(bot.VALUES_TO_USE.timeFrame === timeFrameLabel && datasetModule.node.parentNode.code.pluralVariableName === 'candles')) {
dependencyControlLoop();
return
}
}
let fileName = "Data.json";
let filePath = dependency.referenceParent.parentNode.code.codeName + '/' + dependency.referenceParent.code.codeName + "/" + timeFrameLabel;
datasetModule.getTextFile(filePath, fileName, onFileReceived);
function onFileReceived(err, text) {
@@ -685,7 +685,7 @@
if (bot.VALUES_TO_USE.timeFrame === timeFrameLabel) {
currentTimeFrame = global.dailyFilePeriods[n][0];
currentOutputPeriodName = global.dailyFilePeriods[n][1];
currentTimeFrameLabel = global.dailyFilePeriods[n][1];
}
let dependencyIndex = 0;
@@ -712,17 +712,21 @@
}
function getPreviousFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processDailyFiles -> timeFramesLoopBody -> dependencyLoopBody -> getPreviousFile -> Entering function."); }
if (dependency.referenceParent.code.codeName === "Multi-Period-Market") {
if (dependency.referenceParent.code.codeName !== "Multi-Period-Daily") {
dependencyControlLoop();
return
}
if (dataDependenciesModule.isItADepenency(timeFrameLabel, datasetModule.node.parentNode.code.singularVariableName) !== true) {
if (!(bot.VALUES_TO_USE.timeFrame === timeFrameLabel && datasetModule.node.parentNode.code.pluralVariableName === 'candles')) {
dependencyControlLoop();
return
}
}
let dateForPath = previousDay.getUTCFullYear() + '/' + utilities.pad(previousDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(previousDay.getUTCDate(), 2);
let filePath
@@ -789,17 +793,21 @@
}
function getCurrentFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processDailyFiles -> timeFramesLoopBody -> dependencyLoopBody -> getCurrentFile -> Entering function."); }
if (dependency.referenceParent.code.codeName === "Multi-Period-Market") {
if (dependency.referenceParent.code.codeName !== "Multi-Period-Daily") {
dependencyControlLoop();
return
}
if (dataDependenciesModule.isItADepenency(timeFrameLabel, datasetModule.node.parentNode.code.singularVariableName) !== true) {
if (!(bot.VALUES_TO_USE.timeFrame === timeFrameLabel && datasetModule.node.parentNode.code.pluralVariableName === 'candles')) {
dependencyControlLoop();
return
}
}
let dateForPath = bot.multiPeriodProcessDatetime.getUTCFullYear() + '/' + utilities.pad(bot.multiPeriodProcessDatetime.getUTCMonth() + 1, 2) + '/' + utilities.pad(bot.multiPeriodProcessDatetime.getUTCDate(), 2);
let filePath
if (dependency.referenceParent.code.codeName === "Multi-Period-Daily") {
@@ -932,7 +940,7 @@
botInstance.start(
multiPeriodDataFiles,
currentTimeFrame,
currentOutputPeriodName,
currentTimeFrameLabel,
bot.multiPeriodProcessDatetime,
interExecutionMemoryArray[n],
onBotFinished);
@@ -954,7 +962,7 @@
writeMarketStatusReport(onMarketStatusReport)
} else {
writeDataRanges(currentOutputPeriodName, onWritten);
writeDataRanges(currentTimeFrameLabel, onWritten);
}
function onWritten(err) {
@@ -1035,7 +1043,7 @@
}
}
function writeDataRanges(currentOutputPeriodName, callBack) {
function writeDataRanges(currentTimeFrameLabel, callBack) {
try {
@@ -1046,7 +1054,7 @@
function productLoopBody() {
let productCodeName = bot.processNode.referenceParent.processOutput.outputDatasets[outputDatasetIndex].referenceParent.parentNode.code.codeName;
writeDataRange(contextVariables.dateBeginOfMarket, bot.multiPeriodProcessDatetime, productCodeName, currentOutputPeriodName, controlLoop);
writeDataRange(contextVariables.dateBeginOfMarket, bot.multiPeriodProcessDatetime, productCodeName, currentTimeFrameLabel, controlLoop);
}
function controlLoop() {
@@ -1067,7 +1075,7 @@
}
function writeDataRange(pBegin, pEnd, productCodeName, currentOutputPeriodName, callBack) {
function writeDataRange(pBegin, pEnd, productCodeName, currentTimeFrameLabel, callBack) {
try {
TaskServer/Session.js
+1
View File
@@ -54,6 +54,7 @@
/* We are going to run the Definition comming at the event. */
bot.TRADING_SYSTEM = JSON.parse(message.event.tradingSystem)
bot.SESSION = JSON.parse(message.event.session)
bot.DEPENDENCY_FILTER = JSON.parse(message.event.dependencyFilter)
/* Set the folderName for logging, reports, context and data output */
let code
TaskServer/TradingSimulation.js
+8 -2
View File
@@ -571,7 +571,10 @@
let singularVariableName = dataDependencyNode.referenceParent.parentNode.code.singularVariableName
let pluralVariableName = dataDependencyNode.referenceParent.parentNode.code.pluralVariableName
let elementArray = thisChart[pluralVariableName]
let currentElement = elementArray[elementArray.length - 1]
let currentElement
if (elementArray !== undefined) {
currentElement = elementArray[elementArray.length - 1]
}
thisChart[singularVariableName] = currentElement
}
@@ -615,6 +618,7 @@
previousLoopingDay = loopingDay.valueOf()
/* If any of the needed data dependencies is missing for this particular candle, then we jump the candle*/
/*
for (let k = 0; k < dataDependencies.length; k++) {
let dataDependencyNode = dataDependencies[k]
let singularVariableName = dataDependencyNode.referenceParent.parentNode.code.singularVariableName
@@ -629,6 +633,7 @@
return
}
}
*/
periods++;
days = periods * timeFrame / ONE_DAY_IN_MILISECONDS;
@@ -2905,7 +2910,7 @@
}
function getElement(pArray, currentCandle, datasetName) {
if (pArray === undefined) {return}
try {
let element;
for (let i = 0; i < pArray.length; i++) {
@@ -2938,6 +2943,7 @@
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] runSimulation -> getElement -> datasetName = " + datasetName);
logger.write(MODULE_NAME, "[ERROR] runSimulation -> getElement -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}