diff --git a/Commons.js b/Commons.js deleted file mode 100644 index 2e6c26b92..000000000 --- a/Commons.js +++ /dev/null @@ -1,2976 +0,0 @@ -const strategy = require('./Integrations/Strategy') - -exports.newCommons = function newCommons(bot, logger, UTILITIES) { - - const { orderMessage } = require("@superalgos/mqservice") - - const { - MESSAGE_ENTITY, MESSAGE_TYPE, ORDER_CREATOR, ORDER_TYPE, - ORDER_OWNER, ORDER_DIRECTION, ORDER_STATUS, ORDER_EXIT_OUTCOME, - createMessage, getMessage, getExpandedMessage - } = orderMessage.newOrderMessage() - - const FULL_LOG = true; - const LOG_FILE_CONTENT = false; - - const MODULE_NAME = "Commons"; - const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000; - const GMT_SECONDS = ':00.000 GMT+0000'; - - let thisObject = { - initializeData: initializeData, - runSimulation: runSimulation, - buildLRC: buildLRC, - buildPercentageBandwidthMap: buildPercentageBandwidthMap, - buildBollingerBandsMap: buildBollingerBandsMap, - buildBollingerChannelsArray: buildBollingerChannelsArray, - buildBollingerSubChannelsArray: buildBollingerSubChannelsArray, - buildCandles: buildCandles - }; - - let utilities = UTILITIES.newCloudUtilities(bot, logger); - - let LRCMap = new Map(); - let percentageBandwidthMap = new Map(); - let bollingerBandsMap = new Map(); - let bollingerChannelsArray = []; - let bollingerSubChannelsArray = []; - - let candles = []; - - return thisObject; - - function initializeData() { - - LRCMap = new Map(); - percentageBandwidthMap = new Map(); - bollingerBandsMap = new Map(); - bollingerChannelsArray = []; - bollingerSubChannelsArray = []; - - candles = []; - } - - async function runSimulation( - timePeriod, - currentDay, - startDate, - endDate, - interExecutionMemory, - assistant, - callback, - callBackFunction) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> Entering function."); } - - let processingDailyFiles = (currentDay !== undefined) - - let executionArray = []; - let recordsArray = []; - let conditionsArray = []; - let strategiesArray = []; - let tradesArray = []; - let lastObjectsArray = []; - - let definition = await strategy.getStrategy(); - let tradingSystem = definition.tradingSystem; - - /* Initial Default Values */ - - let initialDate = startDate; - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> initialDate = " + initialDate); } - - const DEFAULT_BASE_ASSET_BALANCE = 1 - const DEFAULT_BASE_ASSET_MINIMUN_BALANCE = 0.5 - const DEFAULT_BASE_ASSET_MAXIMUN_BALANCE = 2 - - let initialBalanceA = DEFAULT_BASE_ASSET_BALANCE - let minimumBalanceA = DEFAULT_BASE_ASSET_MINIMUN_BALANCE - let maximumBalanceA = DEFAULT_BASE_ASSET_MAXIMUN_BALANCE - let initialBalanceB = 0 - let minimumBalanceB = 0 - let maximumBalanceB = 0 - let baseAsset = 'BTC' - - /* Parameters Processing */ - - if (tradingSystem.parameters !== undefined) { - if (tradingSystem.parameters.baseAsset !== undefined) { - if (tradingSystem.parameters.baseAsset.formula !== undefined) { - let receivedParameters - try { - receivedParameters = JSON.parse(tradingSystem.parameters.baseAsset.formula.code); - - if (receivedParameters.name !== undefined) { - baseAsset = receivedParameters.name; - if (baseAsset !== 'BTC' && baseAsset !== 'USDT') { - tradingSystem.parameters.baseAsset.formula.error = baseAsset + ' is not supported. Using default: BTC.' - baseAsset = 'BTC' - } - } - - if (baseAsset === 'BTC') { - if (receivedParameters.initialBalance !== undefined) { - initialBalanceA = receivedParameters.initialBalance; - initialBalanceB = 0 - } else { - initialBalanceA = DEFAULT_BASE_ASSET_BALANCE; - initialBalanceB = 0 - } - if (receivedParameters.minimumBalance !== undefined) { - minimumBalanceA = receivedParameters.minimumBalance; - minimumBalanceB = 0 - } else { - minimumBalanceA = DEFAULT_BASE_ASSET_MINIMUN_BALANCE; - minimumBalanceB = 0 - } - if (receivedParameters.maximumBalance !== undefined) { - maximumBalanceA = receivedParameters.maximumBalance; - maximumBalanceB = 0 - } else { - maximumBalanceA = DEFAULT_BASE_ASSET_MAXIMUN_BALANCE; - maximumBalanceB = 0 - } - } else { - if (receivedParameters.initialBalance !== undefined) { - initialBalanceB = receivedParameters.initialBalance; - initialBalanceA = 0 - } else { - initialBalanceB = DEFAULT_BASE_ASSET_BALANCE; - initialBalanceA = 0 - } - if (receivedParameters.minimumBalance !== undefined) { - minimumBalanceB = receivedParameters.minimumBalance; - minimumBalanceA = 0 - } else { - minimumBalanceB = DEFAULT_BASE_ASSET_MINIMUN_BALANCE; - minimumBalanceA = 0 - } - if (receivedParameters.maximumBalance !== undefined) { - maximumBalanceB = receivedParameters.maximumBalance; - maximumBalanceA = 0 - } else { - maximumBalanceB = DEFAULT_BASE_ASSET_MAXIMUN_BALANCE; - maximumBalanceA = 0 - } - } - } catch (err) { - tradingSystem.parameters.baseAsset.formula.error = err.message - } - } - } - } - - /* Slippage */ - let slippage = { // Default Values - positionRate: 0, - stopLoss: 0, - takeProfit: 0 - } - if (definition.tradingSystem !== undefined) { - if (definition.tradingSystem.parameters !== undefined) { - if (definition.tradingSystem.parameters.slippage !== undefined) { - if (definition.tradingSystem.parameters.slippage.code !== undefined) { - try { - let code = JSON.parse(definition.tradingSystem.parameters.slippage.code) - - if (code.positionRate !== undefined) { - slippage.positionRate = code.positionRate - } - if (code.stopLoss !== undefined) { - slippage.stopLoss = code.stopLoss - } - if (code.takeProfit !== undefined) { - slippage.takeProfit = code.takeProfit - } - - } catch (err) { - tradingSystem.parameters.slippage.error = err.message - } - } - } - } - } - - /* Fee Structure */ - let feeStructure = { // Default Values - maker: 0, - taker: 0 - } - - if (definition.tradingSystem !== undefined) { - if (definition.tradingSystem.parameters !== undefined) { - if (definition.tradingSystem.parameters.feeStructure !== undefined) { - if (definition.tradingSystem.parameters.feeStructure.code !== undefined) { - try { - let code = JSON.parse(definition.tradingSystem.parameters.feeStructure.code) - - if (code.maker !== undefined) { - feeStructure.maker = code.maker - } - if (code.taker !== undefined) { - feeStructure.taker = code.taker - } - - } catch (err) { - tradingSystem.parameters.feeStructure.error = err.message - } - } - } - } - } - - let timerToCloseStage = 0 - - /* Stop Loss Management */ - - const MIN_STOP_LOSS_VALUE = 1 // We can not let the stop be zero to avoid division by 0 error or infinity numbers as a result. - const MAX_STOP_LOSS_VALUE = Number.MAX_SAFE_INTEGER - let stopLoss = 0; - - /* Take Profit Management */ - - const MIN_TAKE_PROFIT_VALUE = 1 // We can not let the buy order be zero to avoid division by 0 error or infinity numbers as a result. - const MAX_TAKE_PROFIT_VALUE = Number.MAX_SAFE_INTEGER - let previousTakeProfit = 0; - let takeProfit = 0; - - /* Simulation Records */ - - let hitRatio = 0; - let ROI = 0; - let days = 0; - let positionDays = 0; - let anualizedRateOfReturn = 0; - let type = '""'; - let marketRate = 0; - let takePositionNow = false - let closePositionNow = false - - /* In some cases we need to know if we are positioned at the last candle of the calendar day, for that we need these variables. */ - - let lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1; - let lastCandle = candles[candles.length - 1]; - - /* - The following counters need to survive multiple executions of the similator and keep themselves reliable. - This is challenging when the simulation is executed using Daily Files, since each execution means a new - day and these counters are meant to be kept along the whole market. - - To overcome this problem, we use the interExecutionMemory to record the values of the current execution - when finish. But there are a few details: - - 1. When the process is at the head of the market, it executes multple times at the same day. - 2. The same code serves execution from Market Files. - 3. In Daily Files we are receiving candles from the current day and previous day, so we need to take care of - not adding to the counters duplicate info when processing the day before candles. - - To overcome these challenges we record the values of the counters and variables on the interExecutionMemory only when - the day is complete and if we have a currentDay. That menas that for Market Files we will never use - interExecutionMemory. - */ - - /*Needed for statistics */ - let previousBalanceAssetA = 0; - let previousBalanceAssetB = 0; - - /* Position Management */ - let tradePositionRate = 0; - let tradePositionSize = 0; - - /* Strategy and Phase Management */ - let currentStrategyIndex = -1; - let strategyStage = 'No Stage'; - - let stopLossPhase = 0; - let stopLossStage = 'No Stage'; - - let takeProfitPhase = 0; - let takeProfitStage = 'No Stage'; - - /* These 2 objects will allow us to create separate files for each one of them. */ - - let currentStrategy = { - begin: 0, - end: 0, - status: 0, - number: 0, - beginRate: 0, - endRate: 0 - } - - let currentTrade = { - begin: 0, - end: 0, - status: 0, - profit: 0, - exitType: 0, - beginRate: 0, - endRate: 0 - } - - let balanceAssetA = initialBalanceA; - let balanceAssetB = initialBalanceB; - - let lastTradeProfitLoss = 0; - let profit = 0; - let lastTradeROI = 0; - - let roundtrips = 0; - let fails = 0; - let hits = 0; - let periods = 0; - let positionPeriods = 0; - - /* Message to the Simulation Executor */ - - let orderId = 0; - let messageId = 0; - - let yesterday = {}; - - /* Initialization */ - - yesterday.previousBalanceAssetA = previousBalanceAssetA - yesterday.previousBalanceAssetB = previousBalanceAssetB - - yesterday.tradePositionRate = tradePositionRate - yesterday.tradePositionSize = tradePositionSize - - yesterday.currentStrategyIndex = currentStrategyIndex - yesterday.strategyStage = strategyStage - - yesterday.stopLossPhase = stopLossPhase - yesterday.stopLossStage = stopLossStage - - yesterday.takeProfitPhase = takeProfitPhase - yesterday.takeProfitStage = takeProfitStage - - yesterday.currentStrategy = { - begin: 0, - end: 0, - status: 0, - number: 0, - beginRate: 0, - endRate: 0 - } - - yesterday.currentTrade = { - begin: 0, - end: 0, - status: 0, - profit: 0, - exitType: 0, - beginRate: 0, - endRate: 0 - } - - yesterday.balanceAssetA = balanceAssetA; - yesterday.balanceAssetB = balanceAssetB; - - yesterday.lastTradeProfitLoss = 0; - yesterday.profit = 0; - yesterday.lastTradeROI = 0; - - yesterday.roundtrips = 0; - yesterday.fails = 0; - yesterday.hits = 0; - yesterday.periods = 0; - yesterday.positionPeriods = 0; - - yesterday.orderId = 0; - yesterday.messageId = 0; - - yesterday.hitRatio = 0; - yesterday.ROI = 0; - yesterday.anualizedRateOfReturn = 0; - - if (interExecutionMemory.roundtrips === undefined) { - - /* Initialize the data structure we will use inter execution. */ - - interExecutionMemory.previousBalanceAssetA = previousBalanceAssetA - interExecutionMemory.previousBalanceAssetB = previousBalanceAssetB - - interExecutionMemory.tradePositionRate = tradePositionRate - interExecutionMemory.tradePositionSize = tradePositionSize - - interExecutionMemory.currentStrategyIndex = currentStrategyIndex - interExecutionMemory.strategyStage = strategyStage - - interExecutionMemory.stopLossPhase = stopLossPhase - interExecutionMemory.stopLossStage = stopLossStage - - interExecutionMemory.takeProfitPhase = takeProfitPhase - interExecutionMemory.takeProfitStage = takeProfitStage - - interExecutionMemory.currentStrategy = { - begin: 0, - end: 0, - status: 0, - number: 0, - beginRate: 0, - endRate: 0 - } - - interExecutionMemory.currentTrade = { - begin: 0, - end: 0, - status: 0, - profit: 0, - exitType: 0, - beginRate: 0, - endRate: 0 - } - - interExecutionMemory.balanceAssetA = balanceAssetA; - interExecutionMemory.balanceAssetB = balanceAssetB; - - interExecutionMemory.lastTradeProfitLoss = lastTradeProfitLoss; - interExecutionMemory.profit = profit; - interExecutionMemory.lastTradeROI = lastTradeROI; - - interExecutionMemory.roundtrips = 0; - interExecutionMemory.fails = 0; - interExecutionMemory.hits = 0; - interExecutionMemory.periods = 0; - interExecutionMemory.positionPeriods = 0; - - interExecutionMemory.orderId = 0; - interExecutionMemory.messageId = 0; - - interExecutionMemory.hitRatio = 0; - interExecutionMemory.ROI = 0; - interExecutionMemory.anualizedRateOfReturn = 0; - - } else { - - /* We get the initial values from the day previous to the candles we receive at the current execution */ - - previousBalanceAssetA = interExecutionMemory.previousBalanceAssetA - previousBalanceAssetB = interExecutionMemory.previousBalanceAssetB - - tradePositionRate = interExecutionMemory.tradePositionRate - tradePositionSize = interExecutionMemory.tradePositionSize - - currentStrategyIndex = interExecutionMemory.currentStrategyIndex - strategyStage = interExecutionMemory.strategyStage - - stopLossPhase = interExecutionMemory.stopLossPhase - stopLossStage = interExecutionMemory.stopLossStage - - takeProfitPhase = interExecutionMemory.takeProfitPhase - takeProfitStage = interExecutionMemory.takeProfitStage - - currentStrategy = { - begin: interExecutionMemory.currentStrategy.begin, - end: interExecutionMemory.currentStrategy.end, - status: interExecutionMemory.currentStrategy.status, - number: interExecutionMemory.currentStrategy.number, - beginRate: interExecutionMemory.currentStrategy.beginRate, - endRate: interExecutionMemory.currentStrategy.endRate - } - - currentTrade = { - begin: interExecutionMemory.currentTrade.begin, - end: interExecutionMemory.currentTrade.end, - status: interExecutionMemory.currentTrade.status, - profit: interExecutionMemory.currentTrade.profit, - exitType: interExecutionMemory.currentTrade.exitType, - beginRate: interExecutionMemory.currentTrade.beginRate, - endRate: interExecutionMemory.currentTrade.endRate - } - - if (currentDay.valueOf() >= startDate.valueOf() + ONE_DAY_IN_MILISECONDS) { // Only after the first day we start grabbing the balance from this memory. - - balanceAssetA = interExecutionMemory.balanceAssetA; - balanceAssetB = interExecutionMemory.balanceAssetB; - - yesterday.balanceAssetA = balanceAssetA; - yesterday.balanceAssetB = balanceAssetB; - - } - - lastTradeProfitLoss = interExecutionMemory.lastTradeProfitLoss; - profit = interExecutionMemory.profit; - lastTradeROI = interExecutionMemory.lastTradeROI; - - roundtrips = interExecutionMemory.roundtrips; - fails = interExecutionMemory.fails; - hits = interExecutionMemory.hits; - periods = interExecutionMemory.periods; - positionPeriods = interExecutionMemory.positionPeriods; - - orderId = interExecutionMemory.orderId; // to be deprecated - messageId = interExecutionMemory.messageId; // to be deprecated - - hitRatio = interExecutionMemory.hitRatio; - ROI = interExecutionMemory.ROI; - anualizedRateOfReturn = interExecutionMemory.anualizedRateOfReturn; - - /* For the case that any of these variables are not updated during the main loop, we need to store their value at the yesterday structure, otherwise it would be lost. */ - - yesterday.previousBalanceAssetA = previousBalanceAssetA - yesterday.previousBalanceAssetB = previousBalanceAssetB - - yesterday.tradePositionRate = tradePositionRate - yesterday.tradePositionSize = tradePositionSize - - yesterday.currentStrategyIndex = currentStrategyIndex; - yesterday.strategyStage = strategyStage; - - yesterday.stopLossPhase = stopLossPhase; - yesterday.stopLossStage = stopLossStage; - - yesterday.takeProfitPhase = takeProfitPhase; - yesterday.takeProfitStage = takeProfitStage; - - yesterday.currentStrategy = { - begin: currentStrategy.begin, - end: currentStrategy.end, - status: currentStrategy.status, - number: currentStrategy.number, - beginRate: currentStrategy.beginRate, - endRate: currentStrategy.endRate - } - - yesterday.currentTrade = { - begin: currentTrade.begin, - end: currentTrade.end, - status: currentTrade.status, - profit: currentTrade.profit, - exitType: currentTrade.exitType, - beginRate: currentTrade.beginRate, - endRate: currentTrade.endRate - } - - yesterday.lastTradeProfitLoss = lastTradeProfitLoss; - yesterday.profit = profit; - yesterday.lastTradeROI = lastTradeROI; - - yesterday.roundtrips = roundtrips; - yesterday.fails = fails; - yesterday.hits = hits; - yesterday.periods = periods; - yesterday.positionPeriods = positionPeriods; - - yesterday.hitRatio = hitRatio; - yesterday.ROI = ROI; - yesterday.anualizedRateOfReturn = anualizedRateOfReturn; - } - - /* Main Simulation Loop: We go thourgh all the candles at this time period. */ - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> Main Simulation Loop -> candles.length = " + candles.length); } - - let i - initializeLoop() - - function initializeLoop() { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> initializeLoop -> Entering function."); } - i = 0 - loop() - } - - function loop() { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Entering function."); } - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Processing candle # " + i); } - - let candle = candles[i]; - - 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()) } - - let percentageBandwidth = percentageBandwidthMap.get(candle.begin); - let bollingerBand = bollingerBandsMap.get(candle.begin); - let bollingerChannel = getElement(bollingerChannelsArray, candle.begin, candle.end); - let bollingerSubChannel = getElement(bollingerSubChannelsArray, candle.begin, candle.end); - let positionedAtYesterday = (candle.end < currentDay.valueOf()) - - /* Assistant Info */ - - let ticker = { - bid: candle.close, - ask: candle.close, - last: candle.close - } - - //let LRC = LRCMap.get(candle.begin); - - /* If any of the needed indicators is missing, then that period is not calculated */ - - if (candle.end < initialDate.valueOf()) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle before the initialDate."); } - controlLoop(); - return - } - if (bollingerBand === undefined) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because Bollinger Band is undefined."); } - controlLoop(); - return - } - if (percentageBandwidth === undefined) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because %B is undefined."); } - controlLoop(); - return - } // percentageBandwidth might start after the first few candles. - if (bollingerChannel === undefined) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because Bollingeer Channel is undefined."); } - controlLoop(); - return - } - if (bollingerSubChannel === undefined) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because Bollingeer Sub Channel is undefined."); } - controlLoop(); - return - } - - //if (LRC === undefined) { controlLoop(); return} - - periods++; - days = periods * timePeriod / ONE_DAY_IN_MILISECONDS; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.periods = periods - } - - /* We skip the candle at the head of the market because i has not closed yet. */ - let candlesPerDay = ONE_DAY_IN_MILISECONDS / timePeriod - if (i === candles.length - 1) { - if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) { - /*We are at the head of the market, thus we skip the last candle because it has not close yet. */ - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because it is the last one and has not been closed yet."); } - controlLoop(); - return - /* Note here that in the last candle of the first day or the second day it will use an incomplete candle and partially calculated indicators. - if we skip these two periods, then there will be a hole in the file since the last period will be missing. */ - } - } - - } else { // We are processing Market Files - if (i === candles.length - 1) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Skipping Candle because it is the last one and has not been closed yet."); } - controlLoop(); - return - } - } - - let lastObjects = { - candle: clone(candle), - //LRC: clone(LRC), - bollingerBand: clone(bollingerBand), - percentageBandwidth: clone(percentageBandwidth), - bollingerChannel: clone(bollingerChannel), - bollingerSubChannel: clone(bollingerSubChannel) - } - - function clone(obj) { - if (null == obj || "object" != typeof obj) return obj; - var copy = obj.constructor(); - for (var attr in obj) { - if (obj.hasOwnProperty(attr)) copy[attr] = obj[attr]; - } - return copy; - } - - lastObjects.candle.previous = undefined; - //lastObjects.LRC.previous = undefined; - lastObjects.bollingerBand.previous = undefined; - lastObjects.percentageBandwidth.previous = undefined; - lastObjects.bollingerChannel.previous = undefined; - lastObjects.bollingerSubChannel.previous = undefined; - - lastObjectsArray.push(lastObjects); - - if (lastObjectsArray.length > 5) { - lastObjectsArray.splice(0, 1); - } - - let conditions = new Map; // Here we store the conditions values that will be use in the simulator for decision making. - let formulas = new Map; - let conditionsArrayRecord = []; // These are the records that will be saved in a file for the plotter to consume. - let conditionsArrayValues = []; // Here we store the conditions values that will be written on file for the plotter. - let formulasErrors = []; // Here we store the errors produced by all phase formulas. - let formulasValues = []; // Here we store the values produced by all phase formulas. - - /* We define and evaluate all conditions to be used later during the simulation loop. */ - - conditionsArrayRecord.push(candle.begin); - conditionsArrayRecord.push(candle.end); - - evaluateConditionsAndFormulas(tradingSystem, conditions); - - function evaluateConditionsAndFormulas(tradingSystem, conditions) { - - for (let j = 0; j < tradingSystem.strategies.length; j++) { - - let strategy = tradingSystem.strategies[j]; - - let positionSize = 0 - let positionRate = 0 - - /* Continue with the rest of the formulas and conditions */ - - let triggerStage = strategy.triggerStage - - if (triggerStage !== undefined) { - - if (triggerStage.triggerOn !== undefined) { - - for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) { - - let situation = triggerStage.triggerOn.situations[k]; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + 'triggerStage' + '-' + 'triggerOn' + '-' + k + '-' + m; - - if (condition.code !== undefined) { - newCondition(key, condition.code); - } - } - } - } - - if (triggerStage.triggerOff !== undefined) { - - for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) { - - let situation = triggerStage.triggerOff.situations[k]; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + 'triggerStage' + '-' + 'triggerOff' + '-' + k + '-' + m; - - if (condition.code !== undefined) { - newCondition(key, condition.code); - } - } - } - } - - if (triggerStage.takePosition !== undefined) { - - for (let k = 0; k < triggerStage.takePosition.situations.length; k++) { - - let situation = triggerStage.takePosition.situations[k]; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + 'triggerStage' + '-' + 'takePosition' + '-' + k + '-' + m; - - if (condition.code !== undefined) { - newCondition(key, condition.code); - } - } - } - } - } - - let openStage = strategy.openStage - - if (openStage !== undefined) { - - /* Default Values*/ - if (baseAsset === 'BTC') { - positionSize = balanceAssetA; - positionRate = candle.close; - } else { - positionSize = balanceAssetB; - positionRate = candle.close; - } - - let initialDefinition = openStage.initialDefinition - - if (initialDefinition !== undefined) { - - if (tradePositionSize !== 0) { - positionSize = tradePositionSize - } else { - if (initialDefinition.positionSize !== undefined) { - if (initialDefinition.positionSize.formula !== undefined) { - try { - positionSize = eval(initialDefinition.positionSize.formula.code); - } catch (err) { - initialDefinition.positionSize.formula.error = err.message - } - if (isNaN(positionSize)) { - if (baseAsset === 'BTC') { - positionSize = balanceAssetA; - } else { - positionSize = balanceAssetB; - } - } else { - if (baseAsset === 'BTC') { - if (positionSize > balanceAssetA) { positionSize = balanceAssetA } - } else { - if (positionSize > balanceAssetB) { positionSize = balanceAssetB } - } - } - } - } - } - - if (tradePositionRate !== 0) { - positionRate = tradePositionRate - } else { - if (initialDefinition.positionRate !== undefined) { - if (initialDefinition.positionRate.formula !== undefined) { - try { - positionRate = eval(initialDefinition.positionRate.formula.code); - } catch (err) { - initialDefinition.positionRate.formula.error = err.message - } - if (isNaN(positionRate)) { - if (baseAsset === 'BTC') { - positionRate = candle.close; - } else { - positionRate = candle.close; - } - } - } - } - } - - if (initialDefinition.stopLoss !== undefined) { - - for (let p = 0; p < initialDefinition.stopLoss.phases.length; p++) { - - let phase = initialDefinition.stopLoss.phases[p]; - - /* Evaluate Formula */ - let formulaValue - let formulaError = '' - - if (phase.formula !== undefined) { - try { - formulaValue = eval(phase.formula.code); - if (formulaValue === Infinity) { - formulaError = "Formula evaluates to Infinity." - formulaValue = MAX_STOP_LOSS_VALUE - } - } catch (err) { - if (phase.formula.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { - /* - We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. - */ - } else { - formulaError = err.message - } - } - if (isNaN(formulaValue)) { formulaValue = 0; } - if (formulaValue < MIN_STOP_LOSS_VALUE) { - formulaValue = MIN_STOP_LOSS_VALUE - } - - formulasErrors.push('"' + formulaError + '"') - formulasValues.push(formulaValue) - let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + p; - formulas.set(key, formulaValue) - } - - /* next phase event */ - let nextPhaseEvent = phase.nextPhaseEvent; - if (nextPhaseEvent !== undefined) { - - for (let k = 0; k < nextPhaseEvent.situations.length; k++) { - - let situation = nextPhaseEvent.situations[k]; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + p + '-' + k + '-' + m; - - if (condition.code !== undefined) { - newCondition(key, condition.code); - } - } - } - } - } - } - - if (initialDefinition.takeProfit !== undefined) { - - for (let p = 0; p < initialDefinition.takeProfit.phases.length; p++) { - - let phase = initialDefinition.takeProfit.phases[p]; - - /* Evaluate Formula */ - let formulaValue - let formulaError = '' - - if (phase.formula !== undefined) { - try { - formulaValue = eval(phase.formula.code); - if (formulaValue === Infinity) { - formulaError = "Formula evaluates to Infinity." - formulaValue = MAX_TAKE_PROFIT_VALUE - } - } catch (err) { - if (phase.formula.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { - /* - We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. - */ - } else { - formulaError = err.message - } - } - if (isNaN(formulaValue)) { formulaValue = 0; } - if (formulaValue < MIN_TAKE_PROFIT_VALUE) { - formulaValue = MIN_TAKE_PROFIT_VALUE - } - - formulasErrors.push('"' + formulaError + '"') - formulasValues.push(formulaValue) - let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + p; - formulas.set(key, formulaValue) - } - - /* next phase event */ - let nextPhaseEvent = phase.nextPhaseEvent; - if (nextPhaseEvent !== undefined) { - - for (let k = 0; k < nextPhaseEvent.situations.length; k++) { - - let situation = nextPhaseEvent.situations[k]; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + p + '-' + k + '-' + m; - - if (condition.code !== undefined) { - newCondition(key, condition.code); - } - } - } - } - } - } - } - - strategy.positionSize = positionSize - strategy.positionRate = positionRate - } - - let manageStage = strategy.manageStage - - if (manageStage !== undefined) { - - if (manageStage.stopLoss !== undefined) { - - for (let p = 0; p < manageStage.stopLoss.phases.length; p++) { - - let phase = manageStage.stopLoss.phases[p]; - - /* Evaluate Formula */ - let formulaValue - let formulaError = '' - - if (phase.formula !== undefined) { - try { - formulaValue = eval(phase.formula.code); - if (formulaValue === Infinity) { - formulaError = "Formula evaluates to Infinity." - formulaValue = MAX_STOP_LOSS_VALUE - } - } catch (err) { - if (phase.formula.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { - /* - We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. - */ - } else { - formulaError = err.message - } - } - if (isNaN(formulaValue)) { formulaValue = 0; } - if (formulaValue < MIN_STOP_LOSS_VALUE) { - formulaValue = MIN_STOP_LOSS_VALUE - } - - formulasErrors.push('"' + formulaError + '"') - formulasValues.push(formulaValue) - let key = j + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + p; - formulas.set(key, formulaValue) - } - - /* next phase event */ - let nextPhaseEvent = phase.nextPhaseEvent; - if (nextPhaseEvent !== undefined) { - - for (let k = 0; k < nextPhaseEvent.situations.length; k++) { - - let situation = nextPhaseEvent.situations[k]; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + p + '-' + k + '-' + m; - - if (condition.code !== undefined) { - newCondition(key, condition.code); - } - } - } - } - } - } - - if (manageStage.takeProfit !== undefined) { - - for (let p = 0; p < manageStage.takeProfit.phases.length; p++) { - - let phase = manageStage.takeProfit.phases[p]; - - /* Evaluate Formula */ - let formulaValue - let formulaError = '' - - if (phase.formula !== undefined) { - try { - formulaValue = eval(phase.formula.code); - if (formulaValue === Infinity) { - formulaError = "Formula evaluates to Infinity." - formulaValue = MAX_TAKE_PROFIT_VALUE - } - } catch (err) { - if (phase.formula.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { - /* - We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. - */ - } else { - formulaError = err.message - } - } - if (isNaN(formulaValue)) { formulaValue = 0; } - if (formulaValue < MIN_TAKE_PROFIT_VALUE) { - formulaValue = MIN_TAKE_PROFIT_VALUE - } - - formulasErrors.push('"' + formulaError + '"') - formulasValues.push(formulaValue) - let key = j + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + p; - formulas.set(key, formulaValue) - } - - /* next phase event */ - let nextPhaseEvent = phase.nextPhaseEvent; - if (nextPhaseEvent !== undefined) { - - for (let k = 0; k < nextPhaseEvent.situations.length; k++) { - - let situation = nextPhaseEvent.situations[k]; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + p + '-' + k + '-' + m; - - if (condition.code !== undefined) { - newCondition(key, condition.code); - } - } - } - } - } - } - } - - function newCondition(key, node) { - - let condition; - let error = '' - let value - - try { - value = eval(node.code); - } catch (err) { - /* - One possible error is that the conditions references a .previous that is undefined. For this - reason and others, we will simply set the value to false. - */ - value = false - - if (node.code.indexOf('previous') > 0 && err.message.indexOf('of undefined') > 0) { - /* - We are not going to set an error for the casess we are using previous and the error is that the indicator is undefined. - */ - } else { - node.error = err.message - } - } - - condition = { - key: key, - value: value - }; - - conditions.set(condition.key, condition); - - if (condition.value) { - conditionsArrayValues.push(1); - } else { - conditionsArrayValues.push(0); - } - } - } - } - - /* Trigger On Conditions */ - if ( - strategyStage === 'No Stage' && - currentStrategyIndex === -1 - ) { - let minimumBalance - let maximumBalance - let balance - - if (baseAsset === 'BTC') { - balance = balanceAssetA - minimumBalance = minimumBalanceA - maximumBalance = maximumBalanceA - } else { - balance = balanceAssetB - minimumBalance = minimumBalanceB - maximumBalance = maximumBalanceB - } - - if (balance > minimumBalance && balance < maximumBalance) { - - /* - Here we need to pick a strategy, or if there is not suitable strategy for the current - market conditions, we pass until the next period. - - To pick a new strategy we will evaluate what we call the trigger on. Once we enter - into one strategy, we will ignore market conditions for others. However there is also - a strategy trigger off which can be hit before taking a position. If hit, we would - be outside a strategy again and looking for the condition to enter all over again. - - */ - - for (let j = 0; j < tradingSystem.strategies.length; j++) { - - let strategy = tradingSystem.strategies[j]; - - let triggerStage = strategy.triggerStage - - if (triggerStage !== undefined) { - - if (triggerStage.triggerOn !== undefined) { - - for (let k = 0; k < triggerStage.triggerOn.situations.length; k++) { - - let situation = triggerStage.triggerOn.situations[k]; - let passed = true; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + 'triggerStage' + '-' + 'triggerOn' + '-' + k + '-' + m; - - let value = false - if (conditions.get(key) !== undefined) { - value = conditions.get(key).value; - } - - if (value === false) { passed = false; } - } - - if (passed) { - - strategyStage = 'Trigger Stage'; - currentStrategyIndex = j; - currentStrategy.begin = candle.begin; - currentStrategy.beginRate = candle.min; - currentStrategy.endRate = candle.min; // In case the strategy does not get exited - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.strategyStage = strategyStage; - yesterday.currentStrategyIndex = currentStrategyIndex; - yesterday.currentStrategy.begin = currentStrategy.begin; - yesterday.currentStrategy.beginRate = currentStrategy.beginRate; - yesterday.currentStrategy.endRate = currentStrategy.endRate; - } - } - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Switching to Trigger Stage because conditions at Trigger On Event were met."); } - break; - } - } - } - } - } - } else { - let stopRunningDate = new Date(candle.begin) - if (balance < minimumBalance) { - tradingSystem.error = "Min Balance @ " + stopRunningDate.toUTCString() - } - if (balance > maximumBalance) { - tradingSystem.error = "Max Balance @ " + stopRunningDate.toUTCString() - } - } - } - - /* Trigger Off Condition */ - if (strategyStage === 'Trigger Stage') { - - let strategy = tradingSystem.strategies[currentStrategyIndex]; - - let triggerStage = strategy.triggerStage - - if (triggerStage !== undefined) { - - if (triggerStage.triggerOff !== undefined) { - - for (let k = 0; k < triggerStage.triggerOff.situations.length; k++) { - - let situation = triggerStage.triggerOff.situations[k]; - let passed = true; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = currentStrategyIndex + '-' + 'triggerStage' + '-' + 'triggerOff' + '-' + k + '-' + m; - - let value = false - if (conditions.get(key) !== undefined) { - value = conditions.get(key).value; - } - - if (value === false) { passed = false; } - } - - if (passed) { - - currentStrategy.number = currentStrategyIndex - currentStrategy.end = candle.end; - currentStrategy.endRate = candle.min; - currentStrategy.status = 1; - strategyStage = 'No Stage'; - currentStrategyIndex = -1; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.currentStrategy.number = currentStrategy.number; - yesterday.currentStrategy.end = currentStrategy.end; - yesterday.currentStrategy.endRate = currentStrategy.endRate; - yesterday.currentStrategy.status = currentStrategy.status; - yesterday.strategyStage = strategyStage; - yesterday.currentStrategyIndex = currentStrategyIndex; - } - } - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Switching to No Stage because conditions at the Trigger Off Event were met."); } - break; - } - } - } - } - } - - /* Take Position Condition */ - if (strategyStage === 'Trigger Stage') { - - let strategy = tradingSystem.strategies[currentStrategyIndex]; - - let triggerStage = strategy.triggerStage - - if (triggerStage !== undefined) { - - if (triggerStage.takePosition !== undefined) { - - for (let k = 0; k < triggerStage.takePosition.situations.length; k++) { - - let situation = triggerStage.takePosition.situations[k]; - let passed = true; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = currentStrategyIndex + '-' + 'triggerStage' + '-' + 'takePosition' + '-' + k + '-' + m; - - let value = false - if (conditions.get(key) !== undefined) { - value = conditions.get(key).value; - } - - if (value === false) { passed = false; } - } - - if (passed) { - - type = '"Take Position"'; - - strategyStage = 'Open Stage'; - stopLossStage = 'Open Stage'; - takeProfitStage = 'Open Stage'; - stopLossPhase = 1; - takeProfitPhase = 1; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.strategyStage = strategyStage; - yesterday.stopLossStage = stopLossStage; - yesterday.takeProfitStage = takeProfitStage; - yesterday.stopLossPhase = stopLossPhase; - yesterday.takeProfitPhase = takeProfitPhase; - } - } - - takePositionNow = true - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Conditions at the Take Position Event were met."); } - break; - } - } - } - } - } - - /* Stop Loss Management */ - if ( - (strategyStage === 'Open Stage' || strategyStage === 'Manage Stage') && - takePositionNow !== true - ) { - - checkStopPhases() - calculateStopLoss(); - - } - - function checkStopPhases() { - - let strategy = tradingSystem.strategies[currentStrategyIndex]; - - let openStage = strategy.openStage - let manageStage = strategy.manageStage - let parentNode - let j = currentStrategyIndex - let stageKey - let initialDefinitionKey = '' - let p - - if (stopLossStage === 'Open Stage' && openStage !== undefined) { - if (openStage.initialDefinition !== undefined) { - if (openStage.initialDefinition.stopLoss !== undefined) { - parentNode = openStage.initialDefinition - initialDefinitionKey = '-' + 'initialDefinition' - stageKey = 'openStage' - p = stopLossPhase - 1 - } - } - } - - if (stopLossStage === 'Manage Stage' && manageStage !== undefined) { - if (manageStage.stopLoss !== undefined) { - parentNode = manageStage - stageKey = 'manageStage' - p = stopLossPhase - 2 - } - } - - let phase = parentNode.stopLoss.phases[p]; - - let nextPhaseEvent = phase.nextPhaseEvent; - if (nextPhaseEvent !== undefined) { - - for (let k = 0; k < nextPhaseEvent.situations.length; k++) { - - let situation = nextPhaseEvent.situations[k]; - let passed = true; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + stageKey + initialDefinitionKey + '-' + 'stopLoss' + '-' + p + '-' + k + '-' + m; - - let value = false - if (conditions.get(key) !== undefined) { - value = conditions.get(key).value; - } - - if (value === false) { passed = false; } - } - - if (passed) { - - stopLossPhase++; - stopLossStage = 'Manage Stage' - if (takeProfitPhase > 1) { strategyStage = 'Manage Stage' } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.stopLossPhase = stopLossPhase; - yesterday.stopLossStage = stopLossStage; - yesterday.strategyStage = strategyStage; - } - } - return; - } - } - } - } - - function calculateStopLoss() { - - let strategy = tradingSystem.strategies[currentStrategyIndex]; - let openStage = strategy.openStage - let manageStage = strategy.manageStage - let phase - let key - - if (stopLossStage === 'Open Stage' && openStage !== undefined) { - if (openStage.initialDefinition !== undefined) { - if (openStage.initialDefinition.stopLoss !== undefined) { - phase = openStage.initialDefinition.stopLoss.phases[stopLossPhase - 1]; - key = currentStrategyIndex + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (stopLossPhase - 1); - } - } - } - - if (stopLossStage === 'Manage Stage' && manageStage !== undefined) { - if (manageStage.stopLoss !== undefined) { - phase = manageStage.stopLoss.phases[stopLossPhase - 2]; - key = currentStrategyIndex + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (stopLossPhase - 2); - } - } - - if (phase !== undefined) { - if (phase.formula !== undefined) { - stopLoss = formulas.get(key) - } - } - } - - /* Take Profit Management */ - if ( - (strategyStage === 'Open Stage' || strategyStage === 'Manage Stage') && - takePositionNow !== true - ) { - - checkTakeProfitPhases(); - calculateTakeProfit(); - - } - - function checkTakeProfitPhases() { - - let strategy = tradingSystem.strategies[currentStrategyIndex]; - - let openStage = strategy.openStage - let manageStage = strategy.manageStage - let parentNode - let j = currentStrategyIndex - let stageKey - let initialDefinitionKey = '' - let p - - if (takeProfitStage === 'Open Stage' && openStage !== undefined) { - if (openStage.initialDefinition !== undefined) { - if (openStage.initialDefinition.takeProfit !== undefined) { - parentNode = openStage.initialDefinition - initialDefinitionKey = '-' + 'initialDefinition' - stageKey = 'openStage' - p = takeProfitPhase - 1 - } - } - } - - if (takeProfitStage === 'Manage Stage' && manageStage !== undefined) { - if (manageStage.takeProfit !== undefined) { - parentNode = manageStage - stageKey = 'manageStage' - p = takeProfitPhase - 2 - } - } - - let phase = parentNode.takeProfit.phases[p]; - - let nextPhaseEvent = phase.nextPhaseEvent; - if (nextPhaseEvent !== undefined) { - - for (let k = 0; k < nextPhaseEvent.situations.length; k++) { - - let situation = nextPhaseEvent.situations[k]; - let passed = true; - - for (let m = 0; m < situation.conditions.length; m++) { - - let condition = situation.conditions[m]; - let key = j + '-' + stageKey + initialDefinitionKey + '-' + 'takeProfit' + '-' + p + '-' + k + '-' + m; - - let value = false - if (conditions.get(key) !== undefined) { - value = conditions.get(key).value; - } - - if (value === false) { passed = false; } - } - - if (passed) { - - takeProfitPhase++; - takeProfitStage = 'Manage Stage' - if (stopLossPhase > 1) { strategyStage = 'Manage Stage' } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.takeProfitPhase = takeProfitPhase; - yesterday.takeProfitStage = takeProfitStage; - yesterday.strategyStage = strategyStage; - } - } - return; - } - } - } - } - - function calculateTakeProfit() { - - let strategy = tradingSystem.strategies[currentStrategyIndex]; - let openStage = strategy.openStage - let manageStage = strategy.manageStage - let phase - let key - - if (takeProfitStage === 'Open Stage' && openStage !== undefined) { - if (openStage.initialDefinition !== undefined) { - if (openStage.initialDefinition.takeProfit !== undefined) { - phase = openStage.initialDefinition.takeProfit.phases[takeProfitPhase - 1]; - key = currentStrategyIndex + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (takeProfitPhase - 1); - } - } - } - - if (takeProfitStage === 'Manage Stage' && manageStage !== undefined) { - if (manageStage.takeProfit !== undefined) { - phase = manageStage.takeProfit.phases[takeProfitPhase - 2]; - key = currentStrategyIndex + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (takeProfitPhase - 2); - } - } - - if (phase !== undefined) { - if (phase.formula !== undefined) { - takeProfit = formulas.get(key) - } - } - } - - /* Keeping Position Counters Up-to-date */ - if ( - (strategyStage === 'Open Stage' || strategyStage === 'Manage Stage') - ) { - - if (takePositionNow === true) { - positionPeriods = 0 - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.positionPeriods = 0 - } - } - } - - positionPeriods++; - positionDays = positionPeriods * timePeriod / ONE_DAY_IN_MILISECONDS; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.positionPeriods = positionPeriods - } - } - } else { - positionPeriods = 0 - positionDays = 0 - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.positionPeriods = 0 - } - } - } - - /* Checking if Stop or Take Profit were hit */ - if ( - (strategyStage === 'Open Stage' || strategyStage === 'Manage Stage') && - takePositionNow !== true - ) { - let strategy = tradingSystem.strategies[currentStrategyIndex]; - - /* Checking what happened since the last execution. We need to know if the Stop Loss - or our Take Profit were hit. */ - - /* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */ - - if ((baseAsset === 'BTC' && candle.max >= stopLoss) || (baseAsset !== 'BTC' && candle.min <= stopLoss)) { - - /* - Hit Point Validation - - This prevents misscalculations when a formula places the stop loss in this case way beyond the market price. - If we take the stop loss value at those situation would be a huge distortion of facts. - */ - - if (baseAsset === 'BTC') { - if (stopLoss < candle.min) { stopLoss = candle.min } - } else { - if (stopLoss > candle.max) { stopLoss = candle.max } - } - - let slippedStopLoss = stopLoss - - /* Apply the Slippage */ - let slippageAmount = slippedStopLoss * slippage.stopLoss / 100 - - if (baseAsset === 'BTC') { - slippedStopLoss = slippedStopLoss + slippageAmount - } else { - slippedStopLoss = slippedStopLoss - slippageAmount - } - - let finalStopLoss = slippedStopLoss; - - let feePaid = 0 - - if (baseAsset === 'BTC') { - strategy.positionSize = balanceAssetB / finalStopLoss; - strategy.positionRate = finalStopLoss; - - feePaid = balanceAssetB / finalStopLoss * feeStructure.taker / 100 - - balanceAssetA = balanceAssetA + balanceAssetB / finalStopLoss - feePaid; - balanceAssetB = 0; - } else { - strategy.positionSize = balanceAssetA * finalStopLoss; - strategy.positionRate = finalStopLoss; - - feePaid = balanceAssetA * finalStopLoss * feeStructure.taker / 100 - - balanceAssetB = balanceAssetB + balanceAssetA * finalStopLoss - feePaid; - balanceAssetA = 0; - } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.balanceAssetA = balanceAssetA; - yesterday.balanceAssetB = balanceAssetB; - } - } - - marketRate = finalStopLoss; - type = '"Close@StopLoss"'; - strategyStage = 'Close Stage'; - stopLossStage = 'No Stage'; - takeProfitStage = 'No Stage'; - currentTrade.end = candle.end; - currentTrade.status = 1; - currentTrade.exitType = 1; - currentTrade.endRate = finalStopLoss; - - closePositionNow = true; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.strategyStage = strategyStage; - yesterday.stopLossStage = stopLossStage; - yesterday.takeProfitStage = takeProfitStage; - yesterday.currentTrade.end = currentTrade.end; - yesterday.currentTrade.status = currentTrade.status; - yesterday.currentTrade.exitType = currentTrade.exitType; - yesterday.currentTrade.endRate = currentTrade.endRate; - } - } - } - - /* Take Profit condition: Here we verify if the Take Profit was hit or not. */ - - if ((baseAsset === 'BTC' && candle.min <= takeProfit) || (baseAsset !== 'BTC' && candle.max >= takeProfit)) { - - /* - Hit Point Validation: - - This prevents misscalculations when a formula places the take profit in this case way beyond the market price. - If we take the stop loss value at those situation would be a huge distortion of facts. - */ - - if (baseAsset === 'BTC') { - if (takeProfit > candle.max) { takeProfit = candle.max } - } else { - if (takeProfit < candle.min) { takeProfit = candle.min } - } - - let slippedTakeProfit = takeProfit - /* Apply the Slippage */ - let slippageAmount = slippedTakeProfit * slippage.takeProfit / 100 - - if (baseAsset === 'BTC') { - slippedTakeProfit = slippedTakeProfit + slippageAmount - } else { - slippedTakeProfit = slippedTakeProfit - slippageAmount - } - - let finalTakeProfit = slippedTakeProfit; - - let feePaid = 0 - - if (baseAsset === 'BTC') { - strategy.positionSize = balanceAssetB / finalTakeProfit; - strategy.positionRate = finalTakeProfit; - - feePaid = balanceAssetB / finalTakeProfit * feeStructure.taker / 100 - - balanceAssetA = balanceAssetA + balanceAssetB / finalTakeProfit - feePaid; - balanceAssetB = 0; - } else { - strategy.positionSize = balanceAssetA * finalTakeProfit; - strategy.positionRate = finalTakeProfit; - - feePaid = balanceAssetA * finalTakeProfit * feeStructure.taker / 100 - - balanceAssetB = balanceAssetB + balanceAssetA * finalTakeProfit - feePaid; - balanceAssetA = 0; - } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.balanceAssetA = balanceAssetA; - yesterday.balanceAssetB = balanceAssetB; - - } - } - - marketRate = finalTakeProfit; - type = '"Close@TakeProfit"'; - strategyStage = 'Close Stage'; - stopLossStage = 'No Stage'; - takeProfitStage = 'No Stage'; - - currentTrade.end = candle.end; - currentTrade.status = 1; - currentTrade.exitType = 2; - currentTrade.endRate = finalTakeProfit; - - closePositionNow = true; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.strategyStage = strategyStage; - yesterday.stopLossStage = stopLossStage; - yesterday.takeProfitStage = takeProfitStage; - - yesterday.currentTrade.end = currentTrade.end; - yesterday.currentTrade.status = currentTrade.status; - yesterday.currentTrade.exitType = currentTrade.exitType; - yesterday.currentTrade.endRate = currentTrade.endRate; - } - } - } - } - - /* Taking a Position */ - if ( - takePositionNow === true - ) { - takePositionNow = false - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Entering code block."); } - - /* Position size and rate */ - let strategy = tradingSystem.strategies[currentStrategyIndex]; - - tradePositionSize = strategy.positionSize; - tradePositionRate = strategy.positionRate; - - /* We take what was calculated at the formula and apply the slippage. */ - let slippageAmount = tradePositionRate * slippage.positionRate / 100 - - if (baseAsset === 'BTC') { - tradePositionRate = tradePositionRate - slippageAmount - } else { - tradePositionRate = tradePositionRate + slippageAmount - } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.tradePositionSize = tradePositionSize; - yesterday.tradePositionRate = tradePositionRate; - } - } - - /* Update the trade record information. */ - currentTrade.begin = candle.begin; - currentTrade.beginRate = tradePositionRate; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.currentTrade.begin = currentTrade.begin; - yesterday.currentTrade.beginRate = currentTrade.beginRate; - } - } - - /* Check if we need to execute. */ - if (i > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not.*/ - /* Check that we are in LIVE MODE */ - if (process.env.START_MODE === "live") { - /* We see if we need to put the actual order at the exchange. */ - if (interExecutionMemory.executionContext !== undefined) { - switch (interExecutionMemory.executionContext.status) { - case "Without a Position": { // We need to put the order because It was not put yet. - if (strategy.openStage !== undefined) { - if (strategy.openStage.openExecution !== undefined) { - putOpeningOrder() - return - } - } - break - } - case "Position Closed": { // Waiting for a confirmation that the position was closed. - if (strategy.openStage !== undefined) { - if (strategy.openStage.openExecution !== undefined) { - putOpeningOrder() - return - } - } - break - } - case "Taking Position": { // Waiting for a confirmation that the position was taken. - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is Taking Position."); } - break - } - case "In a Position": { // This should mean that we already put the order at the exchange. - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is In a Position."); } - break - } - } - } else { // The context does not exist so it means we are not in a position. - if (strategy.openStage !== undefined) { - if (strategy.openStage.openExecution !== undefined) { - putOpeningOrder() - return - } - } - } - } else { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Not trading live."); } - } - } else { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionNow -> Not the last closed candle."); } - } - - takePositionAtSimulation() - return - - function putOpeningOrder() { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Entering function."); } - - /* We wont take a position unless we are withing the startDate and the endDate range */ - if (startDate !== undefined) { - if (candle.end < startDate.valueOf()) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because current candle ends before the start date. -> startDate = " + startDate); } - takePositionAtSimulation() - return; - } - } - - /* This validation is disbled for now because we do not have the correct end date at this point. - if (endDate !== undefined) { - if (candle.begin > endDate.valueOf()) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putOpeningOrder -> Not placing the trade at the exchange because current candle begins after the end date. -> endDate = " + endDate); } - takePositionAtSimulation() - return; - } - } - */ - - /* Checking the status of current positions */ - let positions = assistant.getPositions(); - if (positions.length > 0) { - let position = positions[positions.length - 1] // We are allways checking the the last position is not open. - if (position.status === 'open') { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the last position is still open. "); } - afterLoop(); - return - } - } - - /* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */ - - if (interExecutionMemory.executionContext !== undefined) { - if (interExecutionMemory.executionContext.periods !== undefined) { - if (periods <= interExecutionMemory.executionContext.periods) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because it was already placed at a previous execution."); } - takePositionAtSimulation() - return; - } - } - } - - /* We are not going to place orders based on outdated information. The next filter prevents firing orders when backtesting. */ - let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS) - let processDay = new Date(Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS) - if (today.valueOf() !== processDay.valueOf()) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the current candle belongs to the previous day and that is considered simulation and not live trading."); } - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> today = " + today); } - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> processDay = " + processDay); } - takePositionAtSimulation() - return; - } - - let openPositionRate - let amountA - let amountB - let positionDirection - let availableBalance = assistant.getAvailableBalance() - - if (baseAsset === 'BTC') { - positionDirection = "sell" - - openPositionRate = tradePositionRate - 100 // 100 is Provisional since we do have management of orders yet - - amountA = tradePositionSize * openPositionRate - amountB = tradePositionSize - - if (amountB > availableBalance.assetB) { // The assistant know what fees were paid. - amountB = availableBalance.assetB - } - } else { - positionDirection = "buy" - - openPositionRate = tradePositionRate + 100 // 100 is Provisional since we do have management of orders yet - - amountA = tradePositionSize - amountB = tradePositionSize / openPositionRate - - if (amountA > availableBalance.assetA) { // The assistant know what fees were paid. - amountA = availableBalance.assetA - } - } - - interExecutionMemory.executionContext = { - status: "Taking Position", - periods: periods, - } - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to put order."); } - assistant.putPosition(positionDirection, openPositionRate, amountA, amountB, onOrderPut) - - function onOrderPut(err) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> Entering function."); } - - try { - switch (err.result) { - case global.DEFAULT_OK_RESPONSE.result: { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> DEFAULT_OK_RESPONSE "); } - interExecutionMemory.executionContext = { - status: "In a Position", - periods: periods, - amountA: amountA, - amountB: amountB - } - takePositionAtSimulation() - return; - } - case global.DEFAULT_FAIL_RESPONSE.result: { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> DEFAULT_FAIL_RESPONSE "); } - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> Message = " + err.message); } - strategy.openStage.openExecution.error = err.message - afterLoop() - return; - } - case global.DEFAULT_RETRY_RESPONSE.result: { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> DEFAULT_RETRY_RESPONSE "); } - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> Message = " + err.message); } - strategy.openStage.openExecution.error = err.message - afterLoop() - return; - } - } - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> Unexpected Response -> Message = " + err.message); } - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - return - - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - return - } - } - } - - function takePositionAtSimulation() { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionAtSimulation -> Entering function."); } - - /* Continue with the simulation */ - calculateTakeProfit(); - calculateStopLoss(); - - marketRate = candle.close; - - previousBalanceAssetA = balanceAssetA; - previousBalanceAssetB = balanceAssetB; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.previousBalanceAssetA = previousBalanceAssetA; - yesterday.previousBalanceAssetB = previousBalanceAssetB; - } - } - - lastTradeProfitLoss = 0; - lastTradeROI = 0; - - let feePaid = 0 - - if (baseAsset === 'BTC') { - - feePaid = tradePositionSize * tradePositionRate * feeStructure.taker / 100 - - balanceAssetB = balanceAssetB + tradePositionSize * tradePositionRate - feePaid; - balanceAssetA = balanceAssetA - tradePositionSize; - } else { - - feePaid = tradePositionSize / tradePositionRate * feeStructure.taker / 100 - - balanceAssetA = balanceAssetA + tradePositionSize / tradePositionRate - feePaid; - balanceAssetB = balanceAssetB - tradePositionSize; - } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.balanceAssetA = balanceAssetA; - yesterday.balanceAssetB = balanceAssetB; - - yesterday.lastTradeProfitLoss = lastTradeProfitLoss; - yesterday.lastTradeROI = lastTradeROI; - } - } - - addRecord(); - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> takePositionAtSimulation -> Exiting Loop Body after taking position at simulation."); } - controlLoop(); - return - } - } - - if (closePositionNow === true) { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Entering code block."); } - - closePositionNow = false - - /* Position size and rate */ - let strategy = tradingSystem.strategies[currentStrategyIndex]; - - if (i > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not.*/ - /* Check that we are in LIVE MODE */ - if (process.env.START_MODE === "live") { - /* We see if we need to put the actual order at the exchange. */ - if (interExecutionMemory.executionContext !== undefined) { - switch (interExecutionMemory.executionContext.status) { - case "Without a Position": { // No way to close anything at the exchange. - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Without a Position."); } - break - } - case "In a Position": { // This should mean that we already put the order at the exchange. - if (strategy.closeStage !== undefined) { - if (strategy.closeStage.closeExecution !== undefined) { - putClosingOrder() - return - } - } - break - } - case "Closing Position": { // Waiting for a confirmation that the position was taken. - if (strategy.closeStage !== undefined) { - if (strategy.closeStage.closeExecution !== undefined) { - putClosingOrder() - return - } - } - break - } - - case "Position Closed": { // - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Position Closed."); } - break - } - } - } - } - } else { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing a Position -> Not within the last 10 candles."); } - } - - closePositionAtSimulation() - return - - function putClosingOrder() { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> putClosingOrder -> Entering function."); } - - /* Checking the status of current positions */ - let positions = assistant.getPositions(); - if (positions.length > 0) { - let position = positions[positions.length - 1] // We are allways checking the the last position is not open. - if (position.status === 'open') { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because status of last position is Open."); } - afterLoop(); - return - } - } - - /* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */ - - if (interExecutionMemory.executionContext !== undefined) { - if (interExecutionMemory.executionContext.periods !== undefined) { - if (periods <= interExecutionMemory.executionContext.periods) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because this closing was already submited at a previous execution."); } - closePositionAtSimulation() - return; - } - } - } - - let closePositionRate - let amountA - let amountB - let positionDirection - let availableBalance = assistant.getAvailableBalance() - - if (baseAsset === 'BTC') { - positionDirection = "buy" - - closePositionRate = ticker.last + 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff. - - amountA = availableBalance.assetA - amountB = availableBalance.assetA / closePositionRate - - } else { - positionDirection = "sell" - - closePositionRate = ticker.last - 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff. - - amountA = availableBalance.assetB * closePositionRate - amountB = availableBalance.assetB - - } - - interExecutionMemory.executionContext = { - status: "Closing Position", - periods: periods, - } - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange."); } - assistant.putPosition(positionDirection, closePositionRate, amountA, amountB, onOrderPut) - - function onOrderPut(err) { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderPut -> Entering function."); } - - try { - switch (err.result) { - case global.DEFAULT_OK_RESPONSE.result: { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderPut -> DEFAULT_OK_RESPONSE "); } - interExecutionMemory.executionContext = { - status: "Position Closed", - periods: periods, - amountA: amountA, - amountB: amountB - } - closePositionAtSimulation() - return; - } - case global.DEFAULT_FAIL_RESPONSE.result: { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderPut -> DEFAULT_FAIL_RESPONSE "); } - /* We will assume that the problem is temporary, and expect that it will work at the next execution.*/ - strategy.closeStage.closeExecution.error = err.message - afterLoop() - return; - } - case global.DEFAULT_RETRY_RESPONSE.result: { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> DEFAULT_RETRY_RESPONSE "); } - strategy.closeStage.closeExecution.error = err.message - afterLoop() - return; - } - } - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putClosingOrder -> onOrderPut -> Unexpected Response -> Message = " + err.message); } - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - return - - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putClosingOrder -> onOrderPut -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - return - } - } - } - - function closePositionAtSimulation() { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> closePositionAtSimulation -> Entering function."); } - - roundtrips++; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.roundtrips = roundtrips - } - } - - if (baseAsset === 'BTC') { - lastTradeProfitLoss = balanceAssetA - previousBalanceAssetA; - lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize; - if (isNaN(lastTradeROI)) { lastTradeROI = 0; } - profit = balanceAssetA - initialBalanceA; - } else { - lastTradeProfitLoss = balanceAssetB - previousBalanceAssetB; - lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize; - if (isNaN(lastTradeROI)) { lastTradeROI = 0; } - profit = balanceAssetB - initialBalanceB; - } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.lastTradeProfitLoss = lastTradeProfitLoss; - yesterday.profit = profit; - yesterday.lastTradeROI = lastTradeROI; - } - } - - currentTrade.lastTradeROI = lastTradeROI; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.currentTrade.lastTradeROI = currentTrade.lastTradeROI; - } - } - - if (lastTradeProfitLoss > 0) { - hits++; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.hits = hits - } - } - - } else { - fails++; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.fails = fails - } - } - } - - if (baseAsset === 'BTC') { - ROI = (initialBalanceA + profit) / initialBalanceA - 1; - hitRatio = hits / roundtrips; - anualizedRateOfReturn = ROI / days * 365; - } else { - ROI = (initialBalanceB + profit) / initialBalanceB - 1; - hitRatio = hits / roundtrips; - anualizedRateOfReturn = ROI / days * 365; - } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.ROI = ROI; - yesterday.hitRatio = hitRatio; - yesterday.anualizedRateOfReturn = anualizedRateOfReturn; - } - } - - addRecord(); - - stopLoss = 0; - takeProfit = 0; - - tradePositionRate = 0; - tradePositionSize = 0; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.tradePositionSize = tradePositionSize; - yesterday.tradePositionRate = tradePositionRate; - } - } - - timerToCloseStage = candle.begin - stopLossStage = 'No Stage'; - takeProfitStage = 'No Stage'; - stopLossPhase = 0; - takeProfitPhase = 0; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.stopLossStage = stopLossStage; - yesterday.takeProfitStage = takeProfitStage; - yesterday.stopLossPhase = stopLossPhase; - yesterday.takeProfitPhase = takeProfitPhase; - } - } - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> closePositionAtSimulation -> Exiting Loop Body after closing position at simulation."); } - controlLoop(); - return - } - } - - /* Closing the Closing Stage */ - if (strategyStage === 'Close Stage') { - if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) { - - currentStrategy.number = currentStrategyIndex - currentStrategy.end = candle.end; - currentStrategy.endRate = candle.min; - currentStrategy.status = 1; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - - yesterday.currentStrategy.number = currentStrategy.number; - yesterday.currentStrategy.end = currentStrategy.end; - yesterday.currentStrategy.endRate = currentStrategy.endRate; - yesterday.currentStrategy.status = currentStrategy.status; - } - } - - currentStrategyIndex = -1; - strategyStage = 'No Stage'; - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.currentStrategyIndex = currentStrategyIndex; - yesterday.strategyStage = strategyStage; - } - } - - timerToCloseStage = 0 - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing the Closing Stage -> Exiting Close Stage."); } - } else { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Closing the Closing Stage -> Waiting for timer."); } - } - } - - /* Not a buy or sell condition */ - - marketRate = candle.close; - addRecord(); - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Exiting Loop Body after adding a record."); } - controlLoop(); - return - - function addRecord() { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> addRecord -> Entering function."); } - - // Since we are going to write the message to a file that the Simulation Executor is going to read, we use the abbreviations. - let messageType; - let message; - let simulationRecord; - let executionRecord; - let executionMessage; - - messageId++; - - if (strategyStage === 'Open Stage' || strategyStage === 'Manage Stage' || type === '"Close@TakeProfit"' || type === '"Close@StopLoss"') { - - if (type === '"Take Position"') { - messageType = MESSAGE_TYPE.Order; - orderId++; - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> addRecord -> Taking Position Now. "); } - - } else { - if (type === '"Close@TakeProfit"' || type === '"Close@StopLoss"') { - messageType = MESSAGE_TYPE.OrderClose; - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> addRecord -> Closing Position Now. "); } - - } else { - messageType = MESSAGE_TYPE.OrderUpdate; - } - } - - let exitOutcome = "" - if (messageType === MESSAGE_TYPE.OrderClose && type === '"Close@TakeProfit"') { - exitOutcome = "TP" - } - if (messageType === MESSAGE_TYPE.OrderClose && type === '"Close@StopLoss"') { - exitOutcome = "SL" - } - - executionMessage = createMessage( - messageId, - MESSAGE_ENTITY.SimulationEngine, - MESSAGE_ENTITY.SimulationExecutor, - messageType, - (new Date()).valueOf(), - orderId.toString(), - ORDER_CREATOR.SimulationEngine, - (new Date()).valueOf(), - ORDER_OWNER.User, - global.EXCHANGE_NAME, - "BTC_USDT", - 0, - ORDER_TYPE.Limit, - tradePositionRate, - stopLoss, - takeProfit, - ORDER_DIRECTION.Sell, - -1, - ORDER_STATUS.Signaled, - 0, - exitOutcome, - "") - - } - else { - - executionMessage = createMessage( - messageId, - MESSAGE_ENTITY.SimulationEngine, - MESSAGE_ENTITY.SimulationExecutor, - MESSAGE_TYPE.HeartBeat, - (new Date()).valueOf(), - "", - "", - 0, - "", - "", - "", - 0, - "", - 0, - 0, - 0, - "", - 0, - "", - 0, - "", - "") - } - - executionRecord = { - begin: candle.begin, - end: candle.end, - executionRecord: executionMessage - } - - executionArray.push(executionRecord) - - let strategyStageNumber - switch (strategyStage) { - case 'No Stage': { - strategyStageNumber = 0 - break - } - case 'Trigger Stage': { - strategyStageNumber = 1 - break - } - case 'Open Stage': { - strategyStageNumber = 2 - break - } - case 'Manage Stage': { - strategyStageNumber = 3 - break - } - case 'Close Stage': { - strategyStageNumber = 4 - break - } - } - - if (balanceAssetA === Infinity) { - balanceAssetA = Number.MAX_SAFE_INTEGER - } - - if (balanceAssetB === Infinity) { - balanceAssetB = Number.MAX_SAFE_INTEGER - } - - let quotedBaseAsset = '"' + baseAsset + '"' - - simulationRecord = { - begin: candle.begin, - end: candle.end, - type: type, - marketRate: marketRate, - amount: 1, - balanceA: balanceAssetA, - balanceB: balanceAssetB, - profit: profit, - lastTradeProfitLoss: lastTradeProfitLoss, - stopLoss: stopLoss, - roundtrips: roundtrips, - hits: hits, - fails: fails, - hitRatio: hitRatio, - ROI: ROI, - periods: periods, - days: days, - anualizedRateOfReturn: anualizedRateOfReturn, - positionRate: tradePositionRate, - lastTradeROI: lastTradeROI, - strategy: currentStrategyIndex, - strategyStageNumber: strategyStageNumber, - takeProfit: takeProfit, - stopLossPhase: stopLossPhase, - takeProfitPhase: takeProfitPhase, - executionRecord: executionMessage, - positionSize: tradePositionSize, - initialBalanceA: initialBalanceA, - minimumBalanceA: minimumBalanceA, - maximumBalanceA: maximumBalanceA, - initialBalanceB: initialBalanceB, - minimumBalanceB: minimumBalanceB, - maximumBalanceB: maximumBalanceB, - baseAsset: quotedBaseAsset, - positionPeriods: positionPeriods, - positionDays: positionDays - } - - recordsArray.push(simulationRecord); - - type = '""'; - - /* Prepare the information for the Conditions File */ - - conditionsArrayRecord.push(currentStrategyIndex); - conditionsArrayRecord.push(strategyStageNumber); - conditionsArrayRecord.push(stopLossPhase); - conditionsArrayRecord.push(takeProfitPhase); - conditionsArrayRecord.push(conditionsArrayValues); - conditionsArrayRecord.push(formulasErrors); - conditionsArrayRecord.push(formulasValues); - - conditionsArray.push(conditionsArrayRecord); - - /* Prepare the information for the Strategies File*/ - - if ( - (currentStrategy.begin !== 0 && currentStrategy.end !== 0) || - (currentStrategy.begin !== 0 && i === candles.length - 1 && lastCandle.end !== lastInstantOfTheDay) - ) { - - strategiesArray.push(currentStrategy); - - currentStrategy = { - begin: 0, - end: 0, - status: 0, - number: 0, - beginRate: 0, - endRate: 0 - } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.currentStrategy = { - begin: 0, - end: 0, - status: 0, - number: 0, - beginRate: 0, - endRate: 0 - } - } - } - } - - /* Prepare the information for the Trades File */ - - if ( - (currentTrade.begin !== 0 && currentTrade.end !== 0) || - (currentTrade.begin !== 0 && i === candles.length - 1 && lastCandle.end !== lastInstantOfTheDay) - ) { - - currentTrade.profit = lastTradeProfitLoss; - - tradesArray.push(currentTrade); - - currentTrade = { - begin: 0, - end: 0, - status: 0, - lastTradeROI: 0, - exitType: 0, - beginRate: 0, - endRate: 0 - } - - if (processingDailyFiles) { - if (positionedAtYesterday) { - yesterday.currentTrade = { - begin: 0, - end: 0, - status: 0, - lastTradeROI: 0, - exitType: 0, - beginRate: 0, - endRate: 0 - } - } - } - } - } - } - - function controlLoop() { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> controlLoop -> Entering function."); } - i++ - if (i < candles.length) { - process.nextTick(loop) - } else { - afterLoop() - } - } - - function afterLoop() { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> afterLoop -> Entering function."); } - - /* - Before returning we need to see if we have to record some of our counters at the interExecutionMemory. - To do that, the condition to be met is that this execution must include all candles of the currentDay. - */ - - if (processingDailyFiles) { - - if (lastCandle.end === lastInstantOfTheDay) { - - interExecutionMemory.previousBalanceAssetA = yesterday.previousBalanceAssetA - interExecutionMemory.previousBalanceAssetB = yesterday.previousBalanceAssetB - - interExecutionMemory.tradePositionRate = yesterday.tradePositionRate - interExecutionMemory.tradePositionSize = yesterday.tradePositionSize - - interExecutionMemory.currentStrategyIndex = yesterday.currentStrategyIndex - interExecutionMemory.strategyStage = yesterday.strategyStage - - interExecutionMemory.stopLossPhase = yesterday.stopLossPhase - interExecutionMemory.stopLossStage = yesterday.stopLossStage - - interExecutionMemory.takeProfitPhase = yesterday.takeProfitPhase - interExecutionMemory.takeProfitStage = yesterday.takeProfitStage - - interExecutionMemory.currentStrategy = { - begin: yesterday.currentStrategy.begin, - end: yesterday.currentStrategy.end, - status: yesterday.currentStrategy.status, - number: yesterday.currentStrategy.number, - beginRate: yesterday.currentStrategy.beginRate, - endRate: yesterday.currentStrategy.endRate - } - - interExecutionMemory.currentTrade = { - begin: yesterday.currentTrade.begin, - end: yesterday.currentTrade.end, - status: yesterday.currentTrade.status, - profit: yesterday.currentTrade.profit, - exitType: yesterday.currentTrade.exitType, - beginRate: yesterday.currentTrade.beginRate, - endRate: yesterday.currentTrade.endRate - } - - interExecutionMemory.balanceAssetA = yesterday.balanceAssetA; - interExecutionMemory.balanceAssetB = yesterday.balanceAssetB; - interExecutionMemory.lastTradeProfitLoss = yesterday.lastTradeProfitLoss; - interExecutionMemory.profit = yesterday.profit; - interExecutionMemory.lastTradeROI = yesterday.lastTradeROI; - - interExecutionMemory.roundtrips = yesterday.roundtrips; - interExecutionMemory.fails = yesterday.fails; - interExecutionMemory.hits = yesterday.hits; - interExecutionMemory.periods = yesterday.periods; - interExecutionMemory.positionPeriods = yesterday.positionPeriods; - - interExecutionMemory.messageId = interExecutionMemory.messageId + yesterday.messageId; - interExecutionMemory.orderId = interExecutionMemory.orderId + yesterday.orderId; - - interExecutionMemory.hitRatio = yesterday.hitRatio; - interExecutionMemory.ROI = yesterday.ROI; - interExecutionMemory.anualizedRateOfReturn = yesterday.anualizedRateOfReturn; - } - } - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> callback -> recordsArray.length = " + recordsArray.length); } - - callback(tradingSystem, executionArray, recordsArray, conditionsArray, strategiesArray, tradesArray, lastObjectsArray); - } - - - function getElement(pArray, begin, end) { - - let element; - - for (let i = 0; i < pArray.length; i++) { - - element = pArray[i]; - - if (begin >= element.begin && end <= element.end) { - return element - } - } - - return - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] runSimulation -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function buildLRC(dataFile, callBackFunction) { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildLRC -> Entering function."); } - - try { - - let previous; - - for (let i = 0; i < dataFile.length; i++) { - - let LRC = { - begin: dataFile[i][0], - end: dataFile[i][1], - _15: dataFile[i][2], - _30: dataFile[i][3], - _60: dataFile[i][4] - }; - - if (previous !== undefined) { - - if (previous._15 > LRC._15) { LRC.direction15 = 'Down'; } - if (previous._15 < LRC._15) { LRC.direction15 = 'Up'; } - if (previous._15 === LRC._15) { LRC.direction15 = 'Side'; } - - if (previous._30 > LRC._30) { LRC.direction30 = 'Down'; } - if (previous._30 < LRC._30) { LRC.direction30 = 'Up'; } - if (previous._30 === LRC._30) { LRC.direction30 = 'Side'; } - - if (previous._60 > LRC._60) { LRC.direction60 = 'Down'; } - if (previous._60 < LRC._60) { LRC.direction60 = 'Up'; } - if (previous._60 === LRC._60) { LRC.direction60 = 'Side'; } - - } - - LRC.previous = previous; - - LRCMap.set(LRC.begin, LRC); - - previous = LRC; - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] buildLRC -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function buildPercentageBandwidthMap(dataFile, callBackFunction) { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildPercentageBandwidthMap -> Entering function."); } - - try { - - let previous; - - for (let i = 0; i < dataFile.length; i++) { - - let percentageBandwidth = { - begin: dataFile[i][0], - end: dataFile[i][1], - value: dataFile[i][2], - movingAverage: dataFile[i][3], - bandwidth: dataFile[i][4] - }; - - if (previous !== undefined) { - - if (previous.movingAverage > percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'Down'; } - if (previous.movingAverage < percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'Up'; } - if (previous.movingAverage === percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'Side'; } - - } - - percentageBandwidth.previous = previous; - - percentageBandwidthMap.set(percentageBandwidth.begin, percentageBandwidth); - - previous = percentageBandwidth; - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] buildPercentageBandwidthMap -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function buildBollingerBandsMap(dataFile, callBackFunction) { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildBollingerBandsMap -> Entering function."); } - - try { - - let previous; - - for (let i = 0; i < dataFile.length; i++) { - - let bollingerBand = { - begin: dataFile[i][0], - end: dataFile[i][1], - movingAverage: dataFile[i][2], - standardDeviation: dataFile[i][3], - deviation: dataFile[i][4] - }; - - if (previous !== undefined) { - - if (previous.movingAverage > bollingerBand.movingAverage) { bollingerBand.direction = 'Down'; } - if (previous.movingAverage < bollingerBand.movingAverage) { bollingerBand.direction = 'Up'; } - if (previous.movingAverage === bollingerBand.movingAverage) { bollingerBand.direction = 'Side'; } - - } - - bollingerBand.previous = previous; - - bollingerBandsMap.set(bollingerBand.begin, bollingerBand); - - previous = bollingerBand; - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] buildBollingerBandsMap -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function buildBollingerChannelsArray(dataFile, callBackFunction) { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildBollingerChannelsArray -> Entering function."); } - - try { - - let previous; - - for (let i = 0; i < dataFile.length; i++) { - - let bollingerChannel = { - begin: dataFile[i][0], - end: dataFile[i][1], - direction: dataFile[i][2], - period: dataFile[i][3] - }; - - bollingerChannel.previous = previous; - - bollingerChannelsArray.push(bollingerChannel); - - previous = bollingerChannel; - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] buildBollingerChannelsArray -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function buildBollingerSubChannelsArray(dataFile, callBackFunction) { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildBollingerSubChannelsArray -> Entering function."); } - - try { - - let previous; - - for (let i = 0; i < dataFile.length; i++) { - - let bollingerSubChannel = { - begin: dataFile[i][0], - end: dataFile[i][1], - direction: dataFile[i][2], - slope: dataFile[i][3], - period: dataFile[i][4], - firstMovingAverage: dataFile[i][5], - lastMovingAverage: dataFile[i][6], - firstDeviation: dataFile[i][7], - lastDeviation: dataFile[i][8] - }; - - bollingerSubChannel.previous = previous; - - bollingerSubChannelsArray.push(bollingerSubChannel); - - previous = bollingerSubChannel; - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] buildBollingerSubChannelsArray -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function buildCandles(dataFile, callBackFunction) { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] buildCandles -> Entering function."); } - - try { - - let previous; - - for (let i = 0; i < dataFile.length; i++) { - - let candle = { - open: undefined, - close: undefined, - min: 10000000000000, - max: 0, - begin: undefined, - end: undefined, - direction: undefined - }; - - candle.min = dataFile[i][0]; - candle.max = dataFile[i][1]; - - candle.open = dataFile[i][2]; - candle.close = dataFile[i][3]; - - candle.begin = dataFile[i][4]; - candle.end = dataFile[i][5]; - - if (candle.open > candle.close) { candle.direction = 'Down'; } - if (candle.open < candle.close) { candle.direction = 'Up'; } - if (candle.open === candle.close) { candle.direction = 'Side'; } - - candle.previous = previous; - - candles.push(candle); - - previous = candle; - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] buildCandles -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } -}; - - - diff --git a/Integrations/Strategy.js b/Integrations/Definition.js similarity index 73% rename from Integrations/Strategy.js rename to Integrations/Definition.js index a54b937b9..3dbbc46eb 100644 --- a/Integrations/Strategy.js +++ b/Integrations/Definition.js @@ -3,9 +3,9 @@ let fs = require('fs') const { promisify } = require('util') const readFileAsync = promisify(fs.readFile) -exports.getStrategy = async function () { +exports.getDefinition = async function () { try { - if (!global.STRATEGY) { + if (!global.DEFINITION) { let executionOnCloud = false if (process.env.ON_CLOUD !== undefined) { executionOnCloud = JSON.parse(process.env.ON_CLOUD) @@ -36,16 +36,16 @@ exports.getStrategy = async function () { throw new Error(strategizerResponse.data.errors[0].message) } - global.STRATEGY = strategizerResponse.data.data.strategizer_TradingSystemByFb.data + global.DEFINITION = strategizerResponse.data.data.strategizer_TradingSystemByFb.data } else { let fileLocation = process.env.INTER_PROCESS_FILES_PATH + '/definition.json' - let strategy = await readFileAsync(fileLocation, { encoding: 'utf8' }) - global.STRATEGY = JSON.parse(strategy) + let definition = readFile(fileLocation, { encoding: 'utf8' }) + global.DEFINITION = JSON.parse(definition) } } - return global.STRATEGY + return global.DEFINITION } catch (error) { - throw new Error('There has been an error getting the strategy: ', JSON.stringify(error)) + throw new Error('There has been an error getting the definition: ', JSON.stringify(error)) } } diff --git a/Project.njsproj b/Project.njsproj index 53091cd23..d4b026ae4 100644 --- a/Project.njsproj +++ b/Project.njsproj @@ -26,7 +26,7 @@ - + Code diff --git a/Run.js b/Run.js index befb62319..4270d3cd4 100644 --- a/Run.js +++ b/Run.js @@ -1,5 +1,7 @@ require('dotenv').config(); -const strategy = require('./Integrations/Strategy'); + +global.DEFINITION = require(process.env.INTER_PROCESS_FILES_PATH + '/Definition'); +const definition = global.DEFINITION const path = require('path'); global.SHALL_BOT_STOP = false @@ -75,9 +77,6 @@ async function sequenceExecution(currentStep) { execution.exchangeName ? global.EXCHANGE_NAME = execution.exchangeName : undefined; - - const definition = await strategy.getStrategy(); - if (definition) { if (definition.personalData) { if (definition.personalData.exchangeAccounts) { @@ -133,9 +132,6 @@ async function readExecutionConfiguration(execution) { let timePeriodFilter let botProcess - /* Try to get the begin and end dates from the Definition */ - let definition = await strategy.getStrategy() - /* Dates are taken initially from .env, but can be overwritten if they are defined by the user */ let initialDatetime = process.env.BEGIN_DATE_TIME let finalDatetime = process.env.END_DATE_TIME diff --git a/TradingEngineProcessMainLoop.js b/TradingEngineProcessMainLoop.js index b6dbc7661..1d59a68d9 100644 --- a/TradingEngineProcessMainLoop.js +++ b/TradingEngineProcessMainLoop.js @@ -11,6 +11,7 @@ const MULTI_PERIOD_MARKET = require(ROOT_DIR + 'MultiPeriodMarket'); const MULTI_PERIOD_DAILY = require(ROOT_DIR + 'MultiPeriodDaily'); const FILE_STORAGE = require('./Integrations/FileStorage.js'); + let fileStorage = FILE_STORAGE.newFileStorage(parentLogger); const DEBUG_MODULE = require(ROOT_DIR + 'DebugLog'); @@ -54,7 +55,7 @@ } USER_BOT_MODULE = {} - USER_BOT_MODULE.newUserBot = require(ROOT_DIR + 'User.Bot').newUserBot // Use this for a better debugging experience. You need to bring this js module to this folder in order to work. + USER_BOT_MODULE.newUserBot = require(process.env.BOTS_PATH + '/aamasters/AAMasters/bots/AAJason-Trading-Engine-Bot/Multi-Period-Daily/User.Bot').newUserBot // Use this for a better debugging experience. You need to bring this js module to this folder in order to work. //USER_BOT_MODULE.newUserBot = eval(text); // Use this for production filePath = global.DEV_TEAM + "/" + "bots" + "/" + bot.repo; @@ -69,8 +70,9 @@ callBackFunction(global.DEFAULT_OK_RESPONSE); return; } + COMMONS_MODULE = {} - COMMONS_MODULE.newCommons = require(ROOT_DIR + 'Commons').newCommons // Use this for a better debugging experience. You need to bring this js module to this folder in order to work. + COMMONS_MODULE.newCommons = require(process.env.BOTS_PATH + '/aamasters/AAMasters/bots/AAJason-Trading-Engine-Bot/Commons').newCommons // Use this for a better debugging experience. You need to bring this js module to this folder in order to work. //COMMONS_MODULE.newCommons = eval(text); // Use this for production callBackFunction(global.DEFAULT_OK_RESPONSE); diff --git a/User.Bot.js b/User.Bot.js deleted file mode 100644 index 88ddebd50..000000000 --- a/User.Bot.js +++ /dev/null @@ -1,674 +0,0 @@ -exports.newUserBot = function newUserBot(bot, logger, COMMONS, UTILITIES, fileStorage) { - - const FULL_LOG = true; - const LOG_FILE_CONTENT = false; - - const MODULE_NAME = "User Bot"; - - const EXECUTION_FOLDER_NAME = "Trading-Execution"; - const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation"; - const CONDITIONS_FOLDER_NAME = "Simulation-Conditions"; - const STRATEGIES_FOLDER_NAME = "Simulation-Strategies"; - const TRADES_FOLDER_NAME = "Simulation-Trades"; - - const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000; - - const commons = COMMONS.newCommons(bot, logger, UTILITIES); - - thisObject = { - initialize: initialize, - start: start - }; - - let utilities = UTILITIES.newCloudUtilities(bot, logger); - - let dataDependencies; - let assistant; - - return thisObject; - - function initialize(pDataDependencies, callBackFunction, pAssistant) { - - try { - - logger.fileName = MODULE_NAME; - logger.initialize(); - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] initialize -> Entering function."); } - - dataDependencies = pDataDependencies; - assistant = pAssistant; - - callBackFunction(global.DEFAULT_OK_RESPONSE); - - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] initialize -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function start(dataFiles, timePeriod, outputPeriodLabel, currentDay, startDate, endDate, interExecutionMemory, callBackFunction) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); } - - let market = global.MARKET; - let dataFile; - - let recordsArray - let conditionsArray - let strategiesArray - let tradesArray - let lastObjectsArray - - let tradingSystem = {}; - - commons.initializeData(); - - for (let i = 0; i < dataDependencies.config.length; i++) { - - let dependency = dataDependencies.config[i]; - dataFile = dataFiles[i]; - - switch (i) { - /* - case 0: { - commons.buildLRC(dataFile, callBackFunction); - break; - }*/ - case 0: { - commons.buildPercentageBandwidthMap(dataFile, callBackFunction); - break; - } - case 1: { - commons.buildBollingerBandsMap(dataFile, callBackFunction); - break; - } - case 2: { - commons.buildBollingerChannelsArray(dataFile, callBackFunction); - break; - } - case 3: { - commons.buildBollingerSubChannelsArray(dataFile, callBackFunction); - break; - } - case 4: { - commons.buildCandles(dataFile, callBackFunction); - break; - } - } - } - - commons.runSimulation( - timePeriod, - currentDay, - startDate, - endDate, - interExecutionMemory, - assistant, - writeFiles, - callBackFunction) - - function writeFiles(pTradingSystem, pExecutionArray, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) { - - tradingSystem = pTradingSystem - executionArray = pExecutionArray - recordsArray = pRecordsArray - conditionsArray = pConditionsArray - strategiesArray = pStrategiesArray - tradesArray = pTradesArray - lastObjectsArray = pLastObjectsArray - - writeExecutionFile() - } - - function writeExecutionFile() { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> Entering function."); } - - let separator = ""; - let fileRecordCounter = 0; - - let fileContent = ""; - - for (let i = 0; i < executionArray.length; i++) { - - let record = executionArray[i]; - - /* Will only add to the file the records of the current day */ - - if (record.begin < currentDay.valueOf()) { continue; } - - fileContent = fileContent + separator + '[' + - record.begin + "," + - record.end + "," + - JSON.stringify(record.executionRecord) + "]"; - - if (separator === "") { separator = ","; } - - fileRecordCounter++; - - } - - fileContent = "[" + fileContent + "]"; - - let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2); - let fileName = '' + market.assetA + '_' + market.assetB + '.json'; - - let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion; - let filePath = filePathRoot + "/Output/" + EXECUTION_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath; - filePath += '/' + fileName - - fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated); - - function onFileCreated(err) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> Entering function."); } - if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> fileContent = " + fileContent); } - - if (err.result !== global.DEFAULT_OK_RESPONSE.result) { - - logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack); - logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> filePath = " + filePath); - logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB); - - callBackFunction(err); - return; - - } - - writeFinalResults(); - - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function writeFinalResults() { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeFinalResults -> Entering function."); } - - if ( // We only write this file if we are at the head of the market. - Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS - !== - Math.trunc((new Date()).valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS - ) { - writeRecordsFile(); - return; - } - - let separator = ""; - let fileRecordCounter = 0; - - let fileContent = ""; - - for (let i = 0; i < recordsArray.length; i++) { - - let record = recordsArray[i]; - - /* Will only add to the file the records of the current day */ - - if (record.begin < currentDay.valueOf()) { continue; } - - fileContent = fileContent + separator + '[' + - record.begin + "," + - record.end + "," + - record.type + "," + - record.marketRate + "," + - record.amount + "," + - record.balanceA + "," + - record.balanceB + "," + - record.profit + "," + - record.lastTradeProfitLoss + "," + - record.stopLoss + "," + - record.roundtrips + "," + - record.hits + "," + - record.fails + "," + - record.hitRatio + "," + - record.ROI + "," + - record.periods + "," + - record.days + "," + - record.anualizedRateOfReturn + "," + - record.positionRate + "," + - record.lastTradeROI + "," + - record.strategy + "," + - record.strategyStageNumber + "," + - record.takeProfit + "," + - record.stopLossPhase + "," + - record.takeProfitPhase + "," + - JSON.stringify(record.executionRecord) + "," + - record.positionSize + "," + - record.initialBalanceA + "," + - record.minimumBalanceA + "," + - record.maximumBalanceA + "," + - record.initialBalanceB + "," + - record.minimumBalanceB + "," + - record.maximumBalanceB + "," + - record.baseAsset + "," + - record.positionPeriods + "," + - record.positionDays + "]"; - - if (separator === "") { separator = ","; } - - fileRecordCounter++; - - } - - fileContent = "[" + fileContent + "]"; - - let fileName = '' + market.assetA + '_' + market.assetB + '.json'; - - let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion; - let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel; - filePath += '/' + fileName - - fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated); - - function onFileCreated(err) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeFinalResults -> onFileCreated -> Entering function."); } - if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeFinalResults -> onFileCreated -> fileContent = " + fileContent); } - - if (err.result !== global.DEFAULT_OK_RESPONSE.result) { - - logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> onFileCreated -> err = " + err.stack); - logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> onFileCreated -> filePath = " + filePath); - logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> onFileCreated -> market = " + market.assetA + "_" + market.assetB); - - callBackFunction(err); - return; - - } - - writeRecordsFile(); - - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> onFileCreated -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeFinalResults -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function writeRecordsFile() { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> Entering function."); } - - let separator = ""; - let fileRecordCounter = 0; - - let fileContent = ""; - - for (let i = 0; i < recordsArray.length; i++) { - - let record = recordsArray[i]; - - /* Will only add to the file the records of the current day */ - - if (record.begin < currentDay.valueOf()) { continue; } - - fileContent = fileContent + separator + '[' + - record.begin + "," + - record.end + "," + - record.type + "," + - record.marketRate + "," + - record.amount + "," + - record.balanceA + "," + - record.balanceB + "," + - record.profit + "," + - record.lastTradeProfitLoss + "," + - record.stopLoss + "," + - record.roundtrips + "," + - record.hits + "," + - record.fails + "," + - record.hitRatio + "," + - record.ROI + "," + - record.periods + "," + - record.days + "," + - record.anualizedRateOfReturn + "," + - record.positionRate + "," + - record.lastTradeROI + "," + - record.strategy + "," + - record.strategyStageNumber + "," + - record.takeProfit + "," + - record.stopLossPhase + "," + - record.takeProfitPhase + "," + - JSON.stringify(record.executionRecord) + "," + - record.positionSize + "," + - record.initialBalanceA + "," + - record.minimumBalanceA + "," + - record.maximumBalanceA + "," + - record.initialBalanceB + "," + - record.minimumBalanceB + "," + - record.maximumBalanceB + "," + - record.baseAsset + "," + - record.positionPeriods + "," + - record.positionDays + "]"; - - if (separator === "") { separator = ","; } - - fileRecordCounter++; - - } - - fileContent = "[" + fileContent + "]"; - - let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2); - let fileName = '' + market.assetA + '_' + market.assetB + '.json'; - - let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion; - let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath; - filePath += '/' + fileName - - fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated); - - function onFileCreated(err) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> Entering function."); } - if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); } - - if (err.result !== global.DEFAULT_OK_RESPONSE.result) { - - logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack); - logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> filePath = " + filePath); - logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB); - - callBackFunction(err); - return; - - } - - writeConditionsFile(); - - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> onFileCreated -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeRecordsFile -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function writeConditionsFile() { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> Entering function."); } - - let separator = ""; - let fileRecordCounter = 0; - - let fileContent = ""; - - for (let i = 0; i < conditionsArray.length; i++) { - - let record = conditionsArray[i]; - - /* Will only add to the file the records of the current day */ - - if (record.begin < currentDay.valueOf()) { continue; } - - let conditions = ""; - let conditionsSeparator = ""; - - /* Will only add to the file the records of the current day */ - - if (record.begin < currentDay.valueOf()) { continue; } - - for (let j = 0; j < record.length - 3; j++) { - conditions = conditions + conditionsSeparator + record[j]; - if (conditionsSeparator === "") { conditionsSeparator = ","; } - } - - conditions = conditions + conditionsSeparator + '[' + record[record.length - 3] + ']'; // The last item contains an Array of condition values. - conditions = conditions + conditionsSeparator + '[' + record[record.length - 2] + ']'; // The last item contains an Array of formulaErrors. - conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of formulaValues. - - fileContent = fileContent + separator + '[' + conditions + ']'; - - if (separator === "") { separator = ","; } - - fileRecordCounter++; - - } - - fileContent = "[" + fileContent + "]"; - fileContent = "[" + JSON.stringify(tradingSystem) + "," + JSON.stringify(lastObjectsArray) + "," + fileContent + "]"; - - let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2); - let fileName = '' + market.assetA + '_' + market.assetB + '.json'; - - let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion; - let filePath = filePathRoot + "/Output/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath; - filePath += '/' + fileName - - fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated); - - function onFileCreated(err) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> Entering function."); } - if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); } - - if (err.result !== global.DEFAULT_OK_RESPONSE.result) { - - logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack); - logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> filePath = " + filePath); - logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB); - - callBackFunction(err); - return; - - } - - writeStrategiesFile(); - - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> onFileCreated -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeConditionsFile -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function writeStrategiesFile() { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> Entering function."); } - - let separator = ""; - let fileRecordCounter = 0; - - let fileContent = ""; - - for (let i = 0; i < strategiesArray.length; i++) { - let record = strategiesArray[i]; - - /* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends - at the current date. */ - - if (record.end < currentDay.valueOf()) { continue; } - - fileContent = fileContent + separator + '[' + - record.begin + "," + - record.end + "," + - record.status + "," + - record.number + "," + - record.beginRate + "," + - record.endRate + "]"; - - if (separator === "") { separator = ","; } - - fileRecordCounter++; - - } - - fileContent = "[" + fileContent + "]"; - - let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2); - let fileName = '' + market.assetA + '_' + market.assetB + '.json'; - - let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion; - let filePath = filePathRoot + "/Output/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath; - filePath += '/' + fileName - - fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated); - - function onFileCreated(err) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> Entering function."); } - if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); } - - if (err.result !== global.DEFAULT_OK_RESPONSE.result) { - - logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack); - logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath); - logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB); - - callBackFunction(err); - return; - - } - - writeTradesFile(); - - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function writeTradesFile() { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> Entering function."); } - - let separator = ""; - let fileRecordCounter = 0; - - let fileContent = ""; - - for (let i = 0; i < tradesArray.length; i++) { - - let record = tradesArray[i]; - - /* Will only add to the file the records of the current day. In this case since objects can span more than one day, we add all of the objects that ends - at the current date. */ - - if (record.end < currentDay.valueOf()) { continue; } - if (record.stopRate === undefined) { record.stopRate = 0} - - fileContent = fileContent + separator + '[' + - record.begin + "," + - record.end + "," + - record.status + "," + - record.lastTradeROI + "," + - record.beginRate + "," + - record.endRate + "," + - record.exitType + "]"; - - if (separator === "") { separator = ","; } - - fileRecordCounter++; - - } - - fileContent = "[" + fileContent + "]"; - - let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2); - let fileName = '' + market.assetA + '_' + market.assetB + '.json'; - - let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion; - let filePath = filePathRoot + "/Output/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath; - filePath += '/' + fileName - - fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated); - - function onFileCreated(err) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> Entering function."); } - if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); } - - if (err.result !== global.DEFAULT_OK_RESPONSE.result) { - - logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack); - logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> filePath = " + filePath); - logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB); - - callBackFunction(err); - return; - - } - - callBackFunction(global.DEFAULT_OK_RESPONSE); - - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - - } - catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.stack); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } -};