Market Files generated successfully
This commit is contained in:
Luis Fernando Molina committed
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commit
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3 files changed
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-145
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+66
-137
@@ -10,7 +10,7 @@
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const TRADES_FOLDER_NAME = "Trades";
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const CANDLES_FOLDER_NAME = "Candles";
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const BOLINGER_BANDS_FOLDER_NAME = "Boliniger-Bands";
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const BOLINGER_BANDS_FOLDER_NAME = "Bollinger-Bands";
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const commons = COMMONS.newCommons(bot, logger, UTILITIES);
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@@ -64,7 +64,7 @@
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This process is going to do the following:
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Read the candles and volumes from Olivia and produce the bollinger bands out of them.
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Read the candles from Olivia and produce the bollinger bands out of them.
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*/
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@@ -76,11 +76,11 @@
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let market = global.MARKET;
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buildStairs();
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buildBands();
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function buildStairs() {
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function buildBands() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> Entering function."); }
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try {
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@@ -92,7 +92,7 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> periodsLoop -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> periodsLoop -> Entering function."); }
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/*
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@@ -106,7 +106,7 @@
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> periodsLoop -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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@@ -115,7 +115,7 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> Entering function."); }
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const outputPeriod = global.marketFilesPeriods[n][0];
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const timePeriod = global.marketFilesPeriods[n][1];
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@@ -126,7 +126,7 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> nextCandleFile -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> Entering function."); }
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let fileName = market.assetA + '_' + market.assetB + ".json";
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@@ -139,12 +139,12 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> text = " + text); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> text = " + text); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> err = " + err.message);
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callBackFunction(err);
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return;
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@@ -153,13 +153,13 @@
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let marketFile = JSON.parse(text);
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let candles = [];
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let stairsArray = [];
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let bandsArray = [];
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buildCandles();
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function buildCandles() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> buildCandles -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildCandles -> Entering function."); }
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try {
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@@ -184,156 +184,85 @@
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candle.begin = marketFile[i][4];
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candle.end = marketFile[i][5];
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if (candle.open > candle.close) { candle.direction = 'down'; }
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if (candle.open < candle.close) { candle.direction = 'up'; }
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if (candle.open === candle.close) { candle.direction = 'side'; }
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candles.push(candle);
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}
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findCandleStairs();
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buildBands();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> buildCandles -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildCandles -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function findCandleStairs() {
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function buildBands() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> findCandleStairs -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildBands -> Entering function."); }
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/* Finding stairs */
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let n = 20;
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let stairs;
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/* Building bands */
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for (let i = 0; i < candles.length - 1; i++) {
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let band;
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let currentCandle = candles[i];
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let nextCandle = candles[i + 1];
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for (let i = n - 1; i < candles.length - 1; i++) { // Go through all the candles to generate a band segment for each of them.
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if (currentCandle.direction === nextCandle.direction && currentCandle.direction !== 'side') {
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if (stairs === undefined) {
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stairs = {
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open: undefined,
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close: undefined,
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min: 10000000000000,
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max: 0,
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begin: undefined,
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end: undefined,
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direction: undefined,
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candleCount: 0,
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firstMin: 0,
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firstMax: 0,
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lastMin: 0,
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lastMax: 0
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};
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stairs.direction = currentCandle.direction;
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stairs.candleCount = 2;
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stairs.begin = currentCandle.begin;
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stairs.end = nextCandle.end;
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stairs.open = currentCandle.open;
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stairs.close = nextCandle.close;
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if (currentCandle.min < nextCandle.min) { stairs.min = currentCandle.min; } else { stairs.min = nextCandle.min; }
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if (currentCandle.max > nextCandle.max) { stairs.max = currentCandle.max; } else { stairs.max = nextCandle.max; }
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if (stairs.direction === 'up') {
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stairs.firstMin = currentCandle.open;
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stairs.firstMax = currentCandle.close;
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stairs.lastMin = nextCandle.open;
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stairs.lastMax = nextCandle.close;
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} else {
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stairs.firstMin = currentCandle.close;
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stairs.firstMax = currentCandle.open;
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stairs.lastMin = nextCandle.close;
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stairs.lastMax = nextCandle.open;
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}
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} else {
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stairs.candleCount++;
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stairs.end = nextCandle.end;
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stairs.close = nextCandle.close;
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if (stairs.min < nextCandle.min) { stairs.min = currentCandle.min; }
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if (stairs.max > nextCandle.max) { stairs.max = currentCandle.max; }
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if (stairs.direction === 'up') {
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stairs.lastMin = nextCandle.open;
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stairs.lastMax = nextCandle.close;
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} else {
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stairs.lastMin = nextCandle.close;
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stairs.lastMax = nextCandle.open;
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}
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}
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} else {
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if (stairs !== undefined) {
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stairsArray.push(stairs);
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stairs = undefined;
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}
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let movingAverage = 0;
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for (let j = i - n + 1; j < i + 1; j++) { // go through the last n candles to calculate the moving average.
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movingAverage = movingAverage + candles[j].close;
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}
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movingAverage = movingAverage / n;
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let standardDeviation = 0;
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for (let j = i - n + 1; j < i + 1; j++) { // go through the last n candles to calculate the standard deviation.
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standardDeviation = standardDeviation + Math.pow (candles[j].close - movingAverage, 2);
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}
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standardDeviation = standardDeviation / n;
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standardDeviation = Math.sqrt(standardDeviation);
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band = {
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begin: candles[i].begin,
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end: candles[i].end,
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movingAverage: movingAverage,
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standardDeviation: standardDeviation
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};
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bandsArray.push(band);
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}
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writeCandleStairsFile();
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writeBandsFile();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> findCandleStairs -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildBands -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writeCandleStairsFile() {
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function writeBandsFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> writeCandleStairsFile -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
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for (i = 0; i < stairsArray.length; i++) {
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for (i = 0; i < bandsArray.length; i++) {
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let stairs = stairsArray[i];
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let band = bandsArray[i];
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fileContent = fileContent + separator + '[' +
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stairs.open + "," +
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stairs.close + "," +
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stairs.min + "," +
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stairs.max + "," +
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stairs.begin + "," +
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stairs.end + "," +
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'"' + stairs.direction + '"' + "," +
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stairs.candleCount + "," +
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stairs.firstMin + "," +
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stairs.firstMax + "," +
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stairs.lastMin + "," +
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stairs.lastMax + "]";
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band.begin + "," +
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band.end + "," +
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band.movingAverage + "," +
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band.standardDeviation + "]";
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if (separator === "") { separator = ","; }
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@@ -354,14 +283,14 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> writeCandleStairsFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> writeCandleStairsFile -> onFileCreated -> fileContent = " + fileContent); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> fileContent = " + fileContent); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> writeCandleStairsFile -> onFileCreated -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> writeCandleStairsFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> writeCandleStairsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
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callBackFunction(err);
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return;
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@@ -372,32 +301,32 @@
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> writeCandleStairsFile -> onFileCreated -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> onFileCreated -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> writeCandleStairsFile -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writeBandsFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> onFileReceived -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> nextCandleFile -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> loopBody -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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@@ -406,7 +335,7 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildStairs -> controlLoop -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> controlLoop -> Entering function."); }
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n++;
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@@ -421,14 +350,14 @@
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> controlLoop -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> controlLoop -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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||||
}
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||||
}
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||||
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||||
}
|
||||
catch (err) {
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||||
logger.write(MODULE_NAME, "[ERROR] start -> buildStairs -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> err = " + err.message);
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||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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||||
}
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||||
}
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||||
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@@ -112,26 +112,26 @@
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],
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"products": [
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||||
{
|
||||
"codeName": "Bolinger-Bands",
|
||||
"displayName": "Bolinger Bands",
|
||||
"description": "Bolinger Bands",
|
||||
"codeName": "Bollinger-Bands",
|
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"displayName": "Bollinger Bands",
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"description": "Bollinger Bands",
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"storageAccount": "aachris",
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||||
"dataSets": [
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{
|
||||
"codeName": "Multi-Period-Market",
|
||||
"type": "Market Files",
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||||
"validPeriods": [ "24-hs", "12-hs", "08-hs", "06-hs", "04-hs", "03-hs", "02-hs", "01-hs" ],
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bolinger-Bands/Multi-Period-Market/@Period",
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bollinger-Bands/Multi-Period-Market/@Period",
|
||||
"fileName": "@AssetA_@AssetB.json"
|
||||
},
|
||||
{
|
||||
"codeName": "Multi-Period-Daily",
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||||
"type": "Daily Files",
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"validPeriods": [ "45-min", "40-min", "30-min", "20-min", "15-min", "10-min", "05-min", "04-min", "03-min", "02-min", "01-min" ],
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bolinger-Bands/Multi-Period-Daily/@Period/@Year/@Month/@Day",
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bollinger-Bands/Multi-Period-Daily/@Period/@Year/@Month/@Day",
|
||||
"fileName": "@AssetA_@AssetB.json",
|
||||
"dataRange": {
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bolinger-Bands/Multi-Period-Daily",
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bollinger-Bands/Multi-Period-Daily",
|
||||
"fileName": "Data.Range.@AssetA_@AssetB.json"
|
||||
}
|
||||
}
|
||||
@@ -143,8 +143,8 @@
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||||
],
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||||
"plotter": {
|
||||
"devTeam": "AAMasters",
|
||||
"codeName": "PlottersBolingerBands",
|
||||
"moduleName": "BolingerBands"
|
||||
"codeName": "PlottersBollingerBands",
|
||||
"moduleName": "BollingerBands"
|
||||
}
|
||||
}
|
||||
]
|
||||
|
||||
Reference in new issue
Block a user