Update TradingOrders.js
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Luis Fernando Molina committed
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commit
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@@ -419,65 +419,104 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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/* Actual Rate Simulation */
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
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calculatedBasedOnTradingSystem = true
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basedOnTradingSystem()
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basedOnSessionParameters()
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considerBestMatchWithOrderBook()
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recalculateQuotedAsset()
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recalculateSizePlaced()
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function basedOnTradingSystem() {
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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}
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}
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}
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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/* Actual Rate is simulated based on the Session Paremeters */
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let slippageAmount = tradingEngineOrder.rate.value * sessionParameters.slippage.config.positionRate / 100
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switch (tradingSystemOrder.type) {
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case 'Market Sell Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
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break
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}
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case 'Market Buy Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
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break
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function basedOnSessionParameters() {
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/* Based on the Session Parameters Definition */
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if (calculatedBasedOnTradingSystem === false) {
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switch (tradingEngineOrder.type) {
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case 'Market Order': {
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/* Actual Rate is simulated based on the Session Paremeters */
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let slippageAmount = tradingEngineOrder.rate.value * sessionParameters.slippage.config.positionRate / 100
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switch (tradingSystemOrder.type) {
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case 'Market Sell Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value - slippageAmount
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break
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}
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case 'Market Buy Order': {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value + slippageAmount
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break
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}
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}
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break
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}
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case 'Limit Order': {
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/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
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break
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}
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break
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}
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case 'Limit Order': {
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/* In Limit Orders the actual rate is the rate of the order, there is no slippage */
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngineOrder.rate.value
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break
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}
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}
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}
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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/*
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Recalculate the Quouted Asset Size based on the newly calculated Actual Rate.
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*/
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.orderStatistics.actualRate.value
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tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
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/*
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Recaulculate the Size Placed Based on the newly calculated Quoted Asset Size.
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*/
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value -
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previousQuotedAssetSize
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function considerBestMatchWithOrderBook() {
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/*
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Until here we have got the rate based on the formula definition or based on session parameters slippage.
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THe last check is about watching what happened in the market. Let's remember that the exchange will
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fill the order with the best possible matches at it's order book. That means that if the rate
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we set for the order was too low (for a sale order) or too hight (for a buy order), the actual rate
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should be better than expected.
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*/
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switch (true) {
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case tradingSystemOrder.type === 'Market Buy Order' || tradingSystemOrder.type === 'Limit Buy Order': {
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if (tradingEngineOrder.orderStatistics.actualRate.value > tradingEngine.current.episode.candle.max.value) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.max.value
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}
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break
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}
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case tradingSystemOrder.type === 'Market Sell Order' || tradingSystemOrder.type === 'Limit Sell Order': {
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if (tradingEngineOrder.orderStatistics.actualRate.value < tradingEngine.current.episode.candle.min.value) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingEngine.current.episode.candle.min.value
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}
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break
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}
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}
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tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
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}
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value +
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tradingEngineOrder.orderQuotedAsset.size.value
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function recalculateQuotedAsset() {
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/*
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Recalculate the Quouted Asset Size based on the newly calculated Actual Rate.
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*/
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tradingEngineOrder.orderQuotedAsset.size.value = tradingEngineOrder.orderBaseAsset.size.value * tradingEngineOrder.orderStatistics.actualRate.value
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tradingEngineOrder.orderQuotedAsset.size.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.size.value, 10)
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}
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
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function recalculateSizePlaced(){
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/*
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Recaulculate the Size Placed Based on the newly calculated Quoted Asset Size.
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*/
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value -
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previousQuotedAssetSize
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tradingEngineStage.stageQuotedAsset.sizePlaced.value =
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tradingEngineStage.stageQuotedAsset.sizePlaced.value +
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tradingEngineOrder.orderQuotedAsset.size.value
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tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
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}
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}
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function percentageFilledSimulation() {
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