candle and distance to events

LowFrequencyTrading/TradingEngine.js

@@ -48,12 +48,12 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
     }
 
     function setCurrentCandle(candle) {
-        tradingEngine.current.candle.begin.value = candle.begin
-        tradingEngine.current.candle.end.value = candle.end
-        tradingEngine.current.candle.open.value = candle.open
-        tradingEngine.current.candle.close.value = candle.close
-        tradingEngine.current.candle.min.value = candle.min
-        tradingEngine.current.candle.max.value = candle.max
+        tradingEngine.current.episode.candle.begin.value = candle.begin
+        tradingEngine.current.episode.candle.end.value = candle.end
+        tradingEngine.current.episode.candle.open.value = candle.open
+        tradingEngine.current.episode.candle.close.value = candle.close
+        tradingEngine.current.episode.candle.min.value = candle.min
+        tradingEngine.current.episode.candle.max.value = candle.max
     }
 
     function cloneValues(originNode, destinationNode) {
@@ -146,57 +146,57 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
     function updateDistanceToEventsCounters() {
         /* Keeping Distance Counters Up-to-date while avoinding counting before the first event happens. */
         if (
-            tradingEngine.current.distanceToEvent.triggerOn.value > 0
+            tradingEngine.current.episode.distanceToEvent.triggerOn.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.triggerOn.value++
+            tradingEngine.current.episode.distanceToEvent.triggerOn.value++
         }
 
         if (
-            tradingEngine.current.distanceToEvent.triggerOff.value > 0
+            tradingEngine.current.episode.distanceToEvent.triggerOff.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.triggerOff.value++
+            tradingEngine.current.episode.distanceToEvent.triggerOff.value++
         }
 
         if (
-            tradingEngine.current.distanceToEvent.takePosition.value > 0
+            tradingEngine.current.episode.distanceToEvent.takePosition.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.takePosition.value++
+            tradingEngine.current.episode.distanceToEvent.takePosition.value++
         }
 
         if (
-            tradingEngine.current.distanceToEvent.closePosition.value > 0
+            tradingEngine.current.episode.distanceToEvent.closePosition.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.closePosition.value++
+            tradingEngine.current.episode.distanceToEvent.closePosition.value++
         }
 
         if (
-            tradingEngine.current.distanceToEvent.nextPhase.value > 0
+            tradingEngine.current.episode.distanceToEvent.nextPhase.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.nextPhase.value++
+            tradingEngine.current.episode.distanceToEvent.nextPhase.value++
         }
 
         if (
-            tradingEngine.current.distanceToEvent.moveToPhase.value > 0
+            tradingEngine.current.episode.distanceToEvent.moveToPhase.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.moveToPhase.value++
+            tradingEngine.current.episode.distanceToEvent.moveToPhase.value++
         }
 
         if (
-            tradingEngine.current.distanceToEvent.createOrder.value > 0
+            tradingEngine.current.episode.distanceToEvent.createOrder.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.createOrder.value++
+            tradingEngine.current.episode.distanceToEvent.createOrder.value++
         }
 
         if (
-            tradingEngine.current.distanceToEvent.cancelOrder.value > 0
+            tradingEngine.current.episode.distanceToEvent.cancelOrder.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.cancelOrder.value++
+            tradingEngine.current.episode.distanceToEvent.cancelOrder.value++
         }
 
         if (
-            tradingEngine.current.distanceToEvent.closeOrder.value > 0
+            tradingEngine.current.episode.distanceToEvent.closeOrder.value > 0
         ) {
-            tradingEngine.current.distanceToEvent.closeOrder.value++
+            tradingEngine.current.episode.distanceToEvent.closeOrder.value++
         }
     }
 

LowFrequencyTrading/TradingEpisode.js

@@ -58,8 +58,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
             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
+            tradingEngine.current.episode.begin.value = tradingEngine.current.episode.candle.begin.value
+            tradingEngine.current.episode.beginRate.value = tradingEngine.current.episode.candle.close.value
         }
     }
 
@@ -69,8 +69,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
 
     function closeEpisode() {
         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.end.value = tradingEngine.current.episode.candle.end.value
+        tradingEngine.current.episode.endRate.value = tradingEngine.current.episode.candle.close.value
         tradingEngine.current.episode.episodeBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
         tradingEngine.current.episode.episodeQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
     }
@@ -81,8 +81,8 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
 
     function updateEnds() {
         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.end.value = tradingEngine.current.episode.candle.end.value
+            tradingEngine.current.episode.endRate.value = tradingEngine.current.episode.candle.close.value
             tradingEngine.current.episode.episodeBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
             tradingEngine.current.episode.episodeQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
         }
@@ -113,7 +113,7 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
 
         /* Updating Profit Loss */
         tradingEngine.current.episode.episodeStatistics.profitLoss.value =
-            tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
+            tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.episode.candle.close.value +
             tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
 
         tradingEngine.current.episode.episodeStatistics.profitLoss.value = global.PRECISE(tradingEngine.current.episode.episodeStatistics.profitLoss.value, 10)
@@ -121,12 +121,12 @@ exports.newTradingEpisode = function newTradingEpisode(bot, logger) {
         /* Updating ROI */
         tradingEngine.current.episode.episodeStatistics.ROI.value =
             (
-                sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.candle.close.value +
-                tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.candle.close.value +
+                sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.episode.candle.close.value +
+                tradingEngine.current.episode.episodeBaseAsset.profitLoss.value * tradingEngine.current.episode.candle.close.value +
                 sessionParameters.sessionQuotedAsset.config.initialBalance +
                 tradingEngine.current.episode.episodeQuotedAsset.profitLoss.value
             ) / (
-                sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.candle.close.value +
+                sessionParameters.sessionBaseAsset.config.initialBalance * tradingEngine.current.episode.candle.close.value +
                 sessionParameters.sessionQuotedAsset.config.initialBalance
             ) - 1
 

LowFrequencyTrading/TradingExecution.js

@@ -135,7 +135,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                         }
                         case 'Open': {
                             /* Update this order properties */
-                            tradingEngineOrder.end.value = tradingEngine.current.candle.end.value
+                            tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
                             tradingEngineOrder.orderCounters.periods.value++
                             tradingEngineOrder.orderStatistics.days.value = tradingEngineOrder.orderCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
 
@@ -191,13 +191,13 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                 tradingEngine.current.episode.episodeCounters.orders.value++
 
                 /* Initialize this */
-                tradingEngine.current.distanceToEvent.createOrder.value = 1
+                tradingEngine.current.episode.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.begin.value = tradingEngine.current.episode.candle.begin.value
+                tradingEngineOrder.end.value = tradingEngine.current.episode.candle.end.value
                 tradingEngineOrder.serialNumber.value = tradingEngine.current.episode.episodeCounters.orders.value
                 tradingEngineOrder.orderName.value = tradingSystemOrder.name
                 tradingEngineOrder.algorithmName.value = executionAlgorithm.name
@@ -205,7 +205,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
 
                 function calculateOrderRate() {
                     /* By default this is the order rate and it is the rate that applies to Market Orders */
-                    tradingEngineOrder.rate.value = tradingEngine.current.candle.close.value
+                    tradingEngineOrder.rate.value = tradingEngine.current.episode.candle.close.value
 
                     /* Optional Rate Definition */
                     if (tradingSystemOrder.orderRate !== undefined) {
@@ -458,7 +458,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                                 tradingEngineOrder.exitType.value = 'Filled'
 
                                 /* Initialize this */
-                                tradingEngine.current.distanceToEvent.closeOrder.value = 1
+                                tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
                             }
                         }
                     }
@@ -515,7 +515,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                     tradingEngineOrder.exitType.value = 'Filled'
 
                     /* Initialize this */
-                    tradingEngine.current.distanceToEvent.closeOrder.value = 1
+                    tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
                 }
                 if (order.remaining > 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
 
@@ -524,7 +524,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                     tradingEngineOrder.exitType.value = 'Closed at the Exchange'
 
                     /* Initialize this */
-                    tradingEngine.current.distanceToEvent.closeOrder.value = 1
+                    tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
                 }
                 if (order.status === AT_EXCHANGE_STATUS.CANCELLED) {
 
@@ -533,7 +533,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                     tradingEngineOrder.exitType.value = 'Cancelled at the Exchange'
 
                     /* Initialize this */
-                    tradingEngine.current.distanceToEvent.closeOrder.value = 1
+                    tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
                 }
 
                 syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
@@ -734,7 +734,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                 tradingEngineOrder.exitType.value = exitType
 
                 /* Initialize this */
-                tradingEngine.current.distanceToEvent.closeOrder.value = 1
+                tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
 
                 recalculateStageSize(tradingEngineOrder)
             }
@@ -765,7 +765,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
                     tradingEngineOrder.exitType.value = exitType
 
                     /* Initialize this */
-                    tradingEngine.current.distanceToEvent.closeOrder.value = 1
+                    tradingEngine.current.episode.distanceToEvent.closeOrder.value = 1
 
                     /* 
                     Perhaps the order was filled a bit more between the last time we checked and when it was cancelled.

LowFrequencyTrading/TradingPosition.js

@@ -50,8 +50,8 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
         tradingEngine.current.position.status.value = 'Open'
         tradingEngine.current.position.serialNumber.value = tradingEngine.current.episode.episodeCounters.positions.value
         tradingEngine.current.position.identifier.value = global.UNIQUE_ID()
-        tradingEngine.current.position.begin.value = tradingEngine.current.candle.begin.value
-        tradingEngine.current.position.beginRate.value = tradingEngine.current.candle.close.value
+        tradingEngine.current.position.begin.value = tradingEngine.current.episode.candle.begin.value
+        tradingEngine.current.position.beginRate.value = tradingEngine.current.episode.candle.close.value
         tradingEngine.current.position.positionBaseAsset.beginBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
         tradingEngine.current.position.positionQuotedAsset.beginBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
         tradingEngine.current.position.situationName.value = situationName
@@ -66,7 +66,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
         tradingEngine.current.episode.episodeCounters.positions.value++
 
         /* Inicializing this counter */
-        tradingEngine.current.distanceToEvent.takePosition.value = 1
+        tradingEngine.current.episode.distanceToEvent.takePosition.value = 1
     }
 
     function closingPosition(exitType) {
@@ -76,8 +76,8 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
 
     function closePosition() {
         tradingEngine.current.position.status.value = 'Closed'
-        tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
-        tradingEngine.current.position.endRate.value = tradingEngine.current.candle.close.value
+        tradingEngine.current.position.end.value = tradingEngine.current.episode.candle.end.value
+        tradingEngine.current.position.endRate.value = tradingEngine.current.episode.candle.close.value
         tradingEngine.current.position.positionBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
         tradingEngine.current.position.positionQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
 
@@ -229,8 +229,8 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
 
     function updateEnds() {
         if (tradingEngine.current.position.status.value === 'Open') {
-            tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
-            tradingEngine.current.position.endRate.value = tradingEngine.current.candle.close.value
+            tradingEngine.current.position.end.value = tradingEngine.current.episode.candle.end.value
+            tradingEngine.current.position.endRate.value = tradingEngine.current.episode.candle.close.value
             tradingEngine.current.position.positionBaseAsset.endBalance.value = tradingEngine.current.episode.episodeBaseAsset.balance.value
             tradingEngine.current.position.positionQuotedAsset.endBalance.value = tradingEngine.current.episode.episodeQuotedAsset.balance.value
         }

LowFrequencyTrading/TradingRecords.js

@@ -219,8 +219,8 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
                             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.candle.end.value)
-                            let nextDay = new Date(tradingEngine.current.candle.end.value + 1)
+                            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.
@@ -302,7 +302,7 @@ exports.newTradingRecords = function newTradingRecords(bot, logger) {
                     let recordProperty = product.record.properties[j]
                     if (recordProperty.config.codeName === 'end') {
                         let end = record[j]
-                        if (end >= tradingEngine.current.candle.end.value) {
+                        if (end >= tradingEngine.current.episode.candle.end.value) {
                             outputFile.splice(i, 1)
                             pruneOutputFile(product, outputFile)
                             return

LowFrequencyTrading/TradingSimulation.js

@@ -69,10 +69,10 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     let diff = lastBegin - firstBegin
                     let amount = diff / sessionParameters.timeFrame.config.value
 
-                    tradingEngine.current.candle.index.value = Math.trunc(amount) + 1 // Because we need to start from the next candle
-                    if (tradingEngine.current.candle.index.value < 0 || tradingEngine.current.candle.index.value > candles.length - 1) {
+                    tradingEngine.current.episode.candle.index.value = Math.trunc(amount) + 1 // Because we need to start from the next candle
+                    if (tradingEngine.current.episode.candle.index.value < 0 || tradingEngine.current.episode.candle.index.value > candles.length - 1) {
                         logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> Cannot resume simulation.')
-                        logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> tradingEngine.current.candle.index.value = ' + tradingEngine.current.candle.index.value)
+                        logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> tradingEngine.current.episode.candle.index.value = ' + tradingEngine.current.episode.candle.index.value)
                         logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> firstBegin = ' + firstBegin)
                         logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> lastBegin = ' + lastBegin)
                         logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> diff = ' + diff)
@@ -88,14 +88,14 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     let diff = targetEnd - firstEnd
                     let amount = diff / sessionParameters.timeFrame.config.value
 
-                    tradingEngine.current.candle.index.value = Math.trunc(amount)
-                    if (tradingEngine.current.candle.index.value < 0) { tradingEngine.current.candle.index.value = 0 }
-                    if (tradingEngine.current.candle.index.value > candles.length - 1) {
+                    tradingEngine.current.episode.candle.index.value = Math.trunc(amount)
+                    if (tradingEngine.current.episode.candle.index.value < 0) { tradingEngine.current.episode.candle.index.value = 0 }
+                    if (tradingEngine.current.episode.candle.index.value > candles.length - 1) {
                         /* 
                         This will happen when the sessionParameters.timeRange.config.initialDatetime is beyond the last candle available, 
                         meaning that the dataSet needs to be updated with more up-to-date data. 
                         */
-                        tradingEngine.current.candle.index.value = candles.length - 1
+                        tradingEngine.current.episode.candle.index.value = candles.length - 1
                     }
                 }
 
@@ -103,8 +103,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
             }
 
             async function loop() {
-                if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + tradingEngine.current.candle.index.value) }
-                let candle = candles[tradingEngine.current.candle.index.value] // This is the current candle the Simulation is working at.
+                if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + tradingEngine.current.episode.candle.index.value) }
+                let candle = candles[tradingEngine.current.episode.candle.index.value] // This is the current candle the Simulation is working at.
 
                 if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle Begin @ ' + (new Date(candle.begin)).toLocaleString()) }
                 if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle End @ ' + (new Date(candle.end)).toLocaleString()) }
@@ -168,12 +168,12 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     return
                 }
 
-                if (tradingEngine.current.candle.index.value + 1 < candles.length) {
+                if (tradingEngine.current.episode.candle.index.value + 1 < candles.length) {
 
                     /* Add new records to the process output */
                     tradingRecordsModule.appendRecords()
 
-                    tradingEngine.current.candle.index.value++
+                    tradingEngine.current.episode.candle.index.value++
 
                     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 {
@@ -217,11 +217,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
 
             function heartBeat() {
                 /* We will produce a simulation level heartbeat in order to inform the user this is running. */
-                heartBeatDate = new Date(Math.trunc(tradingEngine.current.candle.begin.value / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
+                heartBeatDate = new Date(Math.trunc(tradingEngine.current.episode.candle.begin.value / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
                 if (heartBeatDate.valueOf() !== previousHeartBeatDate) {
                     let processingDate = heartBeatDate.getUTCFullYear() + '-' + utilities.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + utilities.pad(heartBeatDate.getUTCDate(), 2)
 
-                    if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + tradingEngine.current.candle.index.value + ' @ ' + processingDate) }
+                    if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + tradingEngine.current.episode.candle.index.value + ' @ ' + processingDate) }
 
                     /*  Telling the world we are alive and doing well */
                     let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime)
@@ -314,15 +314,15 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     for (let i = 0; i < pArray.length; i++) {
                         element = pArray[i]
 
-                        if (tradingEngine.current.candle.end.value === element.end) { // when there is an exact match at the end we take that element
+                        if (tradingEngine.current.episode.candle.end.value === element.end) { // when there is an exact match at the end we take that element
                             return element
                         } else {
                             if (
                                 i > 0 &&
-                                element.end > tradingEngine.current.candle.end.value
+                                element.end > tradingEngine.current.episode.candle.end.value
                             ) {
                                 let previousElement = pArray[i - 1]
-                                if (previousElement.end < tradingEngine.current.candle.end.value) {
+                                if (previousElement.end < tradingEngine.current.episode.candle.end.value) {
                                     return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element.
                                 } else {
                                     return
@@ -345,7 +345,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                 */
                 if (bot.processingDailyFiles) { // We are processing Daily Files
                     let candlesPerDay = global.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
-                    if (tradingEngine.current.candle.index.value === candles.length - 1) {
+                    if (tradingEngine.current.episode.candle.index.value === candles.length - 1) {
                         if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) {
                             if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkLastCandle -> Skipping Candle because it is the last one and has not been closed yet.') }
                             return false
@@ -356,7 +356,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                         }
                     }
                 } else { // We are processing Market Files
-                    if (tradingEngine.current.candle.index.value === candles.length - 1) {
+                    if (tradingEngine.current.episode.candle.index.value === candles.length - 1) {
                         if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkLastCandle -> Skipping Candle because it is the last one and has not been closed yet.') }
                         return false
                     }
@@ -366,11 +366,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
 
             function checkInitialAndFinalDatetime() {
                 /* Here we check that the current candle is not outside of user-defined time range at the session parameters.*/
-                if (tradingEngine.current.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
+                if (tradingEngine.current.episode.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
                     if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.') }
                     return false
                 }
-                if (tradingEngine.current.candle.begin.value > sessionParameters.timeRange.config.finalDatetime) {
+                if (tradingEngine.current.episode.candle.begin.value > sessionParameters.timeRange.config.finalDatetime) {
                     if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.') }
                     return false
                 }
@@ -387,7 +387,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
                     because there the balances have shifted from their resting position.
                     */
 
-                    let stopRunningDate = (new Date(tradingEngine.current.candle.begin.value)).toLocaleString()
+                    let stopRunningDate = (new Date(tradingEngine.current.episode.candle.begin.value)).toLocaleString()
 
                     if (sessionParameters.sessionBaseAsset.config.minimumBalance !== undefined) {
                         if (tradingEngine.current.episode.episodeBaseAsset.balance.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {

LowFrequencyTrading/TradingStages.js

@@ -196,7 +196,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
                                     tradingStrategyModule.openStrategy(j, situation.name, strategy.name)
 
                                     /* Initialize this */
-                                    tradingEngine.current.distanceToEvent.triggerOn.value = 1
+                                    tradingEngine.current.episode.distanceToEvent.triggerOn.value = 1
 
                                     announcementsModule.makeAnnoucements(triggerStage.triggerOn)
                                     announcementsModule.makeAnnoucements(triggerStage)
@@ -243,7 +243,7 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
                                 tradingSystem.highlights.push(triggerStage.triggerOff.id)
                                 tradingSystem.highlights.push(triggerStage.id)
 
-                                tradingEngine.current.distanceToEvent.triggerOff.value = 1
+                                tradingEngine.current.episode.distanceToEvent.triggerOff.value = 1
                                 announcementsModule.makeAnnoucements(triggerStage.triggerOff)
                                 changeStageStatus('Trigger Stage', 'Closed')
                                 tradingStrategyModule.closeStrategy('Trigger Off')
@@ -826,11 +826,11 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
                 if (
                     (
                         tradingEngine.current.position.stopLoss.stopLossPosition.value === 'Above' &&
-                        tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value
+                        tradingEngine.current.episode.candle.max.value >= tradingEngine.current.position.stopLoss.value
                     ) ||
                     (
                         tradingEngine.current.position.stopLoss.stopLossPosition.value === 'Below' &&
-                        tradingEngine.current.candle.min.value <= tradingEngine.current.position.stopLoss.value
+                        tradingEngine.current.episode.candle.min.value <= tradingEngine.current.position.stopLoss.value
                     )
                 ) {
                     logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.')
@@ -846,11 +846,11 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
                 if (
                     (
                         tradingEngine.current.position.takeProfit.takeProfitPosition.value === 'Below' &&
-                        tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value
+                        tradingEngine.current.episode.candle.min.value <= tradingEngine.current.position.takeProfit.value
                     ) ||
                     (
                         tradingEngine.current.position.takeProfit.takeProfitPosition.value === 'Above' &&
-                        tradingEngine.current.candle.max.value >= tradingEngine.current.position.takeProfit.value
+                        tradingEngine.current.episode.candle.max.value >= tradingEngine.current.position.takeProfit.value
                     )
                 ) {
                     logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.')
@@ -1010,8 +1010,8 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
             tradingStrategyModule.closeStrategy('Position Closed')
 
             /* Distance to Events Updates */
-            tradingEngine.current.distanceToEvent.closePosition.value = 1
-            tradingEngine.current.distanceToEvent.triggerOff.value = 1
+            tradingEngine.current.episode.distanceToEvent.closePosition.value = 1
+            tradingEngine.current.episode.distanceToEvent.triggerOff.value = 1
 
         }
     }
@@ -1076,34 +1076,34 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
 
         function openStage(stage) {
             /* Recording the opening at the Trading Engine Data Structure */
-            stage.begin.value = tradingEngine.current.candle.begin.value
-            stage.beginRate.value = tradingEngine.current.candle.close.value
-            stage.end.value = tradingEngine.current.candle.end.value
+            stage.begin.value = tradingEngine.current.episode.candle.begin.value
+            stage.beginRate.value = tradingEngine.current.episode.candle.close.value
+            stage.end.value = tradingEngine.current.episode.candle.end.value
         }
 
         function closeStage(stage) {
             /* Recording the closing at the Trading Engine Data Structure */
-            stage.end.value = tradingEngine.current.candle.end.value
-            stage.endRate.value = tradingEngine.current.candle.close.value
+            stage.end.value = tradingEngine.current.episode.candle.end.value
+            stage.endRate.value = tradingEngine.current.episode.candle.close.value
         }
     }
 
     function updateEnds() {
         if (tradingEngine.current.strategyTriggerStage.status.value === 'Open') {
-            tradingEngine.current.strategyTriggerStage.end.value = tradingEngine.current.candle.end.value
-            tradingEngine.current.strategyTriggerStage.endRate.value = tradingEngine.current.candle.close.value
+            tradingEngine.current.strategyTriggerStage.end.value = tradingEngine.current.episode.candle.end.value
+            tradingEngine.current.strategyTriggerStage.endRate.value = tradingEngine.current.episode.candle.close.value
         }
         if (tradingEngine.current.strategyOpenStage.status.value === 'Open') {
-            tradingEngine.current.strategyOpenStage.end.value = tradingEngine.current.candle.end.value
-            tradingEngine.current.strategyOpenStage.endRate.value = tradingEngine.current.candle.close.value
+            tradingEngine.current.strategyOpenStage.end.value = tradingEngine.current.episode.candle.end.value
+            tradingEngine.current.strategyOpenStage.endRate.value = tradingEngine.current.episode.candle.close.value
         }
         if (tradingEngine.current.strategyManageStage.status.value === 'Open') {
-            tradingEngine.current.strategyManageStage.end.value = tradingEngine.current.candle.end.value
-            tradingEngine.current.strategyManageStage.endRate.value = tradingEngine.current.candle.close.value
+            tradingEngine.current.strategyManageStage.end.value = tradingEngine.current.episode.candle.end.value
+            tradingEngine.current.strategyManageStage.endRate.value = tradingEngine.current.episode.candle.close.value
         }
         if (tradingEngine.current.strategyCloseStage.status.value === 'Open') {
-            tradingEngine.current.strategyCloseStage.end.value = tradingEngine.current.candle.end.value
-            tradingEngine.current.strategyCloseStage.endRate.value = tradingEngine.current.candle.close.value
+            tradingEngine.current.strategyCloseStage.end.value = tradingEngine.current.episode.candle.end.value
+            tradingEngine.current.strategyCloseStage.endRate.value = tradingEngine.current.episode.candle.close.value
         }
     }
 

LowFrequencyTrading/TradingStrategy.js

@@ -33,9 +33,9 @@ exports.newTradingStrategy = function newTradingStrategy(bot, logger, tradingEng
         tradingEngine.current.strategy.status.value = 'Open'
         tradingEngine.current.strategy.serialNumber.value = tradingEngine.current.episode.episodeCounters.strategies.value
         tradingEngine.current.strategy.identifier.value = global.UNIQUE_ID()
-        tradingEngine.current.strategy.begin.value = tradingEngine.current.candle.begin.value
-        tradingEngine.current.strategy.end.value = tradingEngine.current.candle.end.value
-        tradingEngine.current.strategy.beginRate.value = tradingEngine.current.candle.min.value
+        tradingEngine.current.strategy.begin.value = tradingEngine.current.episode.candle.begin.value
+        tradingEngine.current.strategy.end.value = tradingEngine.current.episode.candle.end.value
+        tradingEngine.current.strategy.beginRate.value = tradingEngine.current.episode.candle.min.value
 
         tradingEngine.current.strategy.index.value = index
         tradingEngine.current.strategy.situationName.value = situationName
@@ -48,8 +48,8 @@ exports.newTradingStrategy = function newTradingStrategy(bot, logger, tradingEng
     function closeStrategy(exitType) {
         tradingEngine.current.strategy.status.value = 'Closed'
         tradingEngine.current.strategy.exitType.value = exitType
-        tradingEngine.current.strategy.end.value = tradingEngine.current.candle.end.value
-        tradingEngine.current.strategy.endRate.value = tradingEngine.current.candle.min.value
+        tradingEngine.current.strategy.end.value = tradingEngine.current.episode.candle.end.value
+        tradingEngine.current.strategy.endRate.value = tradingEngine.current.episode.candle.min.value
         /*
         Now that the strategy is closed, it is the right time to move this strategy from current to last at the Trading Engine data structure.
         */
@@ -58,8 +58,8 @@ exports.newTradingStrategy = function newTradingStrategy(bot, logger, tradingEng
 
     function updateEnds() {
         if (tradingEngine.current.strategy.status.value === 'Open') {
-            tradingEngine.current.strategy.end.value = tradingEngine.current.candle.end.value
-            tradingEngine.current.strategy.endRate.value = tradingEngine.current.candle.close.value
+            tradingEngine.current.strategy.end.value = tradingEngine.current.episode.candle.end.value
+            tradingEngine.current.strategy.endRate.value = tradingEngine.current.episode.candle.close.value
         }
     }