episode balance

LowFrequencyTrading/TradingEngine.js

@@ -20,15 +20,16 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
     return thisObject
 
     function initialize() {
-        /* Here we will go through all the nodes in the Trading Engine hiriarchy and apply the initial value to the value property when needed */
 
         tradingEngine = bot.simulationState.tradingEngine
         sessionParameters = bot.SESSION.parameters
 
         if (bot.FIRST_EXECUTION === true) {
+            /* 
+            Here we will go through all the nodes in the Trading Engine hiriarchy and
+            apply the initial value to the value property when needed 
+             */
             initializeNode(tradingEngine)
-            tradingEngine.current.balance.baseAsset.value = sessionParameters.sessionBaseAsset.config.initialBalance
-            tradingEngine.current.balance.quotedAsset.value = sessionParameters.sessionQuotedAsset.config.initialBalance
         }
     }
 

LowFrequencyTrading/TradingEpisode.js

@@ -36,13 +36,27 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
     }
 
     function openEpisode() {
+        /* 
+        This function is called each time the simulation starts. That does not mean the Episode 
+        must be opened there, since it might happen that it is looping at the end of the market
+        or the task / session was restarted.
+        */
+        if (bot.FIRST_EXECUTION === true) {
+            /* Getting the begin Balance from the session configuration */
+            tradingEngine.current.episode.beginBalance.baseAsset.value = sessionParameters.sessionBaseAsset.config.initialBalance
+            tradingEngine.current.episode.beginBalance.quotedAsset.value = sessionParameters.sessionQuotedAsset.config.initialBalance
 
-        /* Recording the opening at the Trading Engine Data Structure */
-        tradingEngine.current.episode.status.value = 'Open'
-        tradingEngine.current.episode.serialNumber.value = 1
-        tradingEngine.current.episode.identifier.value = global.UNIQUE_ID()
-        tradingEngine.current.episode.begin.value = tradingEngine.current.candle.begin.value
-        tradingEngine.current.episode.beginRate.value = tradingEngine.current.candle.close.value
+            /* The current balance is also the begin balance, that is how this starts. */
+            tradingEngine.current.episode.balance.baseAsset.value = sessionParameters.sessionBaseAsset.config.initialBalance
+            tradingEngine.current.episode.balance.quotedAsset.value = sessionParameters.sessionQuotedAsset.config.initialBalance
+
+            /* Recording the opening at the Trading Engine Data Structure */
+            tradingEngine.current.episode.status.value = 'Open'
+            tradingEngine.current.episode.serialNumber.value = 1
+            tradingEngine.current.episode.identifier.value = global.UNIQUE_ID()
+            tradingEngine.current.episode.begin.value = tradingEngine.current.candle.begin.value
+            tradingEngine.current.episode.beginRate.value = tradingEngine.current.candle.close.value
+        }
     }
 
     function updateExitType(exitType) {
@@ -53,6 +67,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
         tradingEngine.current.episode.status.value = 'Closed'
         tradingEngine.current.episode.end.value = tradingEngine.current.candle.end.value
         tradingEngine.current.episode.endRate.value = tradingEngine.current.candle.close.value
+        tradingEngine.current.episode.endBalance.baseAsset.value = tradingEngine.current.episode.balance.baseAsset.value
+        tradingEngine.current.episode.endBalance.quotedAsset.value = tradingEngine.current.episode.balance.quotedAsset.value
     }
 
     function resetEpisode() {
@@ -63,6 +79,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
         if (tradingEngine.current.episode.status.value === 'Open') {
             tradingEngine.current.episode.end.value = tradingEngine.current.candle.end.value
             tradingEngine.current.episode.endRate.value = tradingEngine.current.candle.close.value
+            tradingEngine.current.episode.endBalance.baseAsset.value = tradingEngine.current.episode.balance.baseAsset.value
+            tradingEngine.current.episode.endBalance.quotedAsset.value = tradingEngine.current.episode.balance.quotedAsset.value
         }
     }
 
@@ -141,11 +159,11 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
 
         /* Updating Profit Loss */
         tradingEngine.current.episode.episodeBaseAsset.profitLoss.value =
-            tradingEngine.current.balance.baseAsset.value -
+            tradingEngine.current.episode.balance.baseAsset.value -
             sessionParameters.sessionBaseAsset.config.initialBalance
 
         tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value =
-            tradingEngine.current.balance.quotedAsset.value -
+            tradingEngine.current.episode.balance.quotedAsset.value -
             sessionParameters.sessionQuotedAsset.config.initialBalance
 
         tradingEngine.current.episode.episodeBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeBaseAsset.profitLoss.value, 10)

LowFrequencyTrading/TradingExecution.js

@@ -657,24 +657,24 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                         case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
 
                             /* Balance Base Asset: Undo the previous accounting */
-                            tradingEngine.current.balance.baseAsset.value =
-                                tradingEngine.current.balance.baseAsset.value -
+                            tradingEngine.current.episode.balance.baseAsset.value =
+                                tradingEngine.current.episode.balance.baseAsset.value -
                                 previousBaseAssetSizeFilled
 
                             /* Balance Base Asset: Account the current filling and fees */
-                            tradingEngine.current.balance.baseAsset.value =
-                                tradingEngine.current.balance.baseAsset.value +
+                            tradingEngine.current.episode.balance.baseAsset.value =
+                                tradingEngine.current.episode.balance.baseAsset.value +
                                 tradingEngineOrder.orderBaseAsset.sizeFilled.value
 
                             /* Balance Quoted Asset: Undo the previous accounting */
-                            tradingEngine.current.balance.quotedAsset.value =
-                                tradingEngine.current.balance.quotedAsset.value +
+                            tradingEngine.current.episode.balance.quotedAsset.value =
+                                tradingEngine.current.episode.balance.quotedAsset.value +
                                 previousQuotedAssetSizeFilled +
                                 previousQuotedAssetFeesPaid
 
                             /* Balance Quoted Asset: Account the current filling and fees */
-                            tradingEngine.current.balance.quotedAsset.value =
-                                tradingEngine.current.balance.quotedAsset.value -
+                            tradingEngine.current.episode.balance.quotedAsset.value =
+                                tradingEngine.current.episode.balance.quotedAsset.value -
                                 tradingEngineOrder.orderQuotedAsset.sizeFilled.value -
                                 tradingEngineOrder.orderQuotedAsset.feesPaid.value
                             break
@@ -682,31 +682,31 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                         case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
 
                             /* Balance Base Asset: Undo the previous accounting */
-                            tradingEngine.current.balance.baseAsset.value =
-                                tradingEngine.current.balance.baseAsset.value +
+                            tradingEngine.current.episode.balance.baseAsset.value =
+                                tradingEngine.current.episode.balance.baseAsset.value +
                                 previousBaseAssetSizeFilled +
                                 previousBaseAssetFeesPaid
 
                             /* Balance Base Asset: Account the current filling and fees */
-                            tradingEngine.current.balance.baseAsset.value =
-                                tradingEngine.current.balance.baseAsset.value -
+                            tradingEngine.current.episode.balance.baseAsset.value =
+                                tradingEngine.current.episode.balance.baseAsset.value -
                                 tradingEngineOrder.orderBaseAsset.sizeFilled.value -
                                 tradingEngineOrder.orderBaseAsset.feesPaid.value
 
                             /* Balance Quoted Asset: Undo the previous accounting */
-                            tradingEngine.current.balance.quotedAsset.value =
-                                tradingEngine.current.balance.quotedAsset.value -
+                            tradingEngine.current.episode.balance.quotedAsset.value =
+                                tradingEngine.current.episode.balance.quotedAsset.value -
                                 previousQuotedAssetSizeFilled
 
                             /* Balance Quoted Asset: Account the current filling and fees */
-                            tradingEngine.current.balance.quotedAsset.value =
-                                tradingEngine.current.balance.quotedAsset.value +
+                            tradingEngine.current.episode.balance.quotedAsset.value =
+                                tradingEngine.current.episode.balance.quotedAsset.value +
                                 tradingEngineOrder.orderQuotedAsset.sizeFilled.value
                             break
                         }
                     }
-                    tradingEngine.current.balance.baseAsset.value = global.PRECISE(tradingEngine.current.balance.baseAsset.value, 10)
-                    tradingEngine.current.balance.quotedAsset.value = global.PRECISE(tradingEngine.current.balance.quotedAsset.value, 10)
+                    tradingEngine.current.episode.balance.baseAsset.value = global.PRECISE(tradingEngine.current.episode.balance.baseAsset.value, 10)
+                    tradingEngine.current.episode.balance.quotedAsset.value = global.PRECISE(tradingEngine.current.episode.balance.quotedAsset.value, 10)
                 }
 
             }

LowFrequencyTrading/TradingPosition.js

@@ -240,8 +240,8 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
         /* Profit Loss Calculation */
         tradingEngine.current.position.positionStatistics.profitLoss.value =
             (
-                tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value +
-                tradingEngine.current.balance.quotedAsset.value
+                tradingEngine.current.episode.balance.baseAsset.value * tradingEngine.current.position.endRate.value +
+                tradingEngine.current.episode.balance.quotedAsset.value
             ) -
             (
                 tradingEngine.previous.balance.baseAsset.value * tradingEngine.current.position.beginRate.value +
@@ -279,11 +279,11 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
     function updateResults() {
         /* Profit Loss Calculation */
         tradingEngine.current.position.positionBaseAsset.profitLoss.value =
-            tradingEngine.current.balance.baseAsset.value -
+            tradingEngine.current.episode.balance.baseAsset.value -
             tradingEngine.previous.balance.baseAsset.value
 
         tradingEngine.current.position.positionQuotedAsset.profitLoss.value =
-            tradingEngine.current.balance.quotedAsset.value -
+            tradingEngine.current.episode.balance.quotedAsset.value -
             tradingEngine.previous.balance.quotedAsset.value
 
         tradingEngine.current.position.positionBaseAsset.profitLoss.value = global.PRECISE(tradingEngine.current.position.positionBaseAsset.profitLoss.value, 10)

LowFrequencyTrading/TradingSimulation.js

@@ -390,7 +390,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     let stopRunningDate = (new Date(tradingEngine.current.candle.begin.value)).toLocaleString()
 
                     if (sessionParameters.sessionBaseAsset.config.minimumBalance !== undefined) {
-                        if (tradingEngine.current.balance.baseAsset.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
+                        if (tradingEngine.current.episode.balance.baseAsset.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
                             const errorMessage = 'Min Balance reached @ ' + stopRunningDate
                             tradingSystem.errors.push([tradingSystem.id, errorMessage])
                             if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
@@ -399,7 +399,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     }
 
                     if (sessionParameters.sessionBaseAsset.config.maximumBalance !== undefined) {
-                        if (tradingEngine.current.balance.baseAsset.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
+                        if (tradingEngine.current.episode.balance.baseAsset.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
                             const errorMessage = 'Max Balance reached @ ' + stopRunningDate
                             tradingSystem.errors.push([tradingSystem.id, errorMessage])
                             if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
@@ -408,7 +408,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     }
 
                     if (sessionParameters.sessionQuotedAsset.config.minimumBalance !== undefined) {
-                        if (tradingEngine.current.balance.quotedAsset.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
+                        if (tradingEngine.current.episode.balance.quotedAsset.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
                             const errorMessage = 'Min Balance reached @ ' + stopRunningDate
                             tradingSystem.errors.push([tradingSystem.id, errorMessage])
                             if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
@@ -417,7 +417,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     }
 
                     if (sessionParameters.sessionQuotedAsset.config.maximumBalance !== undefined) {
-                        if (tradingEngine.current.balance.quotedAsset.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
+                        if (tradingEngine.current.episode.balance.quotedAsset.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
                             const errorMessage = 'Max Balance reached @ ' + stopRunningDate
                             tradingSystem.errors.push([tradingSystem.id, errorMessage])
                             if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }

LowFrequencyTrading/TradingStages.js

@@ -85,16 +85,10 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
 
     function mantain() {
         mantainPositions()
-        mantainStrategies()
+        tradingStrategyModule.mantain()
         mantainStages()
         mantainOrders()
 
-        function mantainStrategies() {
-            tradingStrategyModule.resetTradingEngineDataStructure()
-            tradingStrategyModule.updateCounters()
-            tradingStrategyModule.updateEnds()
-        }
-
         function mantainStages() {
             resetTradingEngineDataStructure()
             updateCounters()
@@ -342,8 +336,8 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
             tradingSystem.evalFormulas(stageNode, 'Initial Definition')
 
             /* Remember the balance we had before taking the position to later calculate profit or loss */
-            tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
-            tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
+            tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.episode.balance.baseAsset.value
+            tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.episode.balance.quotedAsset.value
 
             /* Entry Position size and rate */
             tradingSystem.evalFormulas(stageNode, 'Initial Targets')

LowFrequencyTrading/TradingStrategy.js

@@ -4,11 +4,9 @@ exports.newTradingStrategy = function newTradingStrategy(bot, logger, tradingEng
     */
     const MODULE_NAME = 'Trading Strategy'
     let thisObject = {
+        mantain: mantain,
         openStrategy: openStrategy,
         closeStrategy: closeStrategy,
-        updateEnds: updateEnds,
-        resetTradingEngineDataStructure: resetTradingEngineDataStructure,
-        updateCounters: updateCounters,
         initialize: initialize,
         finalize: finalize
     }
@@ -25,6 +23,12 @@ exports.newTradingStrategy = function newTradingStrategy(bot, logger, tradingEng
         tradingEngine = undefined
     }
 
+    function mantain() {
+        resetTradingEngineDataStructure()
+        updateCounters()
+        updateEnds()
+    }
+
     function openStrategy(index, situationName, strategyName) {
         tradingEngine.current.strategy.status.value = 'Open'
         tradingEngine.current.strategy.serialNumber.value = tradingEngine.current.episode.episodeCounters.strategies.value