balance and availableBalance handling
This commit is contained in:
Luis Fernando Molina committed
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commit
7b33ee1406
5 files changed
+242
-57
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+204
-49
@@ -14,7 +14,11 @@
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initialize: initialize,
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putPosition: putPosition,
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movePosition: movePosition,
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getPositions: getPositions
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getPositions: getPositions,
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getBalance: getBalance,
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getAvailableBalance: getAvailableBalance,
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getInvestment: getInvestment,
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getProfits: getProfits
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};
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let bot = BOT;
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@@ -29,8 +33,6 @@
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let context;
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let exchangeAPI;
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const INITIAL_INVESTMENT = 0.001;
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return thisObject;
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function initialize(pContext, pExchangeAPI, callBackFunction) {
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@@ -178,9 +180,12 @@
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function loopBody() {
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try {
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let position = context.executionContext.positions[i];
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for (let j = 0; j < exchangePositions.length; j++) {
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if (context.executionContext.positions[i].id === exchangePositions[j].id) {
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if (position.id === exchangePositions[j].id) {
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/*
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@@ -190,7 +195,7 @@
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*/
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if (context.executionContext.positions[i].amountB === parseFloat(exchangePositions[j].amountB)) {
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if (position.amountB === parseFloat(exchangePositions[j].amountB)) {
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/* Position is still there, untouched. Nothing to do here. */
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@@ -199,7 +204,7 @@
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} else {
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getPositionTradesAtExchange(context.executionContext.positions[i].id, confirmOrderWasPartiallyExecuted);
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getPositionTradesAtExchange(position.id, confirmOrderWasPartiallyExecuted);
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return;
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function confirmOrderWasPartiallyExecuted(pTrades) {
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@@ -233,8 +238,8 @@
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sumAssetA = sumAssetA + exchangePositions[j].fee;
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if (
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context.executionContext.positions[i].amountA !== sumAssetA ||
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context.executionContext.positions[i].amountB !== sumAssetB
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position.amountA !== sumAssetA ||
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position.amountB !== sumAssetB
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) {
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logger.write("[ERROR] ordersExecutionCheck -> loopBody -> confirmOrderWasPartiallyExecuted -> Cannot be confirmed that a partially execution was done well.");
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callBack(global.DEFAULT_FAIL_RESPONSE);
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@@ -247,21 +252,15 @@
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*/
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context.executionContext.positions[i].amountA = exchangePositions[j].amountA;
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context.executionContext.positions[i].amountB = exchangePositions[j].amountB;
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context.executionContext.positions[i].date = (new Date(exchangePositions[j].date)).valueOf();
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position.amountA = exchangePositions[j].amountA;
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position.amountB = exchangePositions[j].amountB;
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position.date = (new Date(exchangePositions[j].date)).valueOf();
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for (k = 0; k < pTrades.length; k++) {
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context.executionContext.positions[i].pTrades.push(pTrades[k]);
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context.newHistoryRecord.newTrades++;
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}
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applyTradesToContext(pTrades);
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let newTransaction = {
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type: context.executionContext.positions[i].type + " partially executed",
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position: context.executionContext.positions[i]
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type: position.type + " partially executed",
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position: position
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};
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context.executionContext.transactions.push(newTransaction);
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@@ -282,7 +281,7 @@
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/* Position not found: we need to know if the order was executed. */
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getPositionTradesAtExchange(context.executionContext.positions[i].id, confirmOrderWasExecuted);
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getPositionTradesAtExchange(position.id, confirmOrderWasExecuted);
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function getPositionTradesAtExchange(pPositionId, innerCallBack) {
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@@ -362,8 +361,8 @@
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sumAssetA = sumAssetA + exchangePositions[j].fee;
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if (
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context.executionContext.positions[i].amountA !== sumAssetA ||
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context.executionContext.positions[i].amountB !== sumAssetB
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position.amountA !== sumAssetA ||
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position.amountB !== sumAssetB
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) {
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logger.write("[ERROR] ordersExecutionCheck -> loopBody -> confirmOrderWasExecuted -> Cannot be confirmed that the order was executed. It must be manually cancelled by the user or cancelled by the exchange itself.");
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callBack(global.DEFAULT_FAIL_RESPONSE);
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@@ -376,19 +375,13 @@
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*/
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context.executionContext.positions[i].status = "executed";
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position.status = "executed";
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for (k = 0; k < pTrades.length; k++) {
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context.executionContext.positions[i].pTrades.push(pTrades[k]);
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context.newHistoryRecord.newTrades++;
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}
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applyTradesToContext(pTrades);
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let newTransaction = {
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type: context.executionContext.positions[i].type + " executed",
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position: context.executionContext.positions[i]
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type: position.type + " executed",
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position: position
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};
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context.executionContext.transactions.push(newTransaction);
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@@ -436,13 +429,54 @@
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callBack(global.DEFAULT_OK_RESPONSE);
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}
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function applyTradesToContext(pTrades) {
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for (k = 0; k < pTrades.length; k++) {
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position.pTrades.push(pTrades[k]);
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context.newHistoryRecord.newTrades++;
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/* Calculate Balances */
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if (trade.type === 'buy') {
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context.executionContext.balance.assetA = context.executionContext.balance.assetA - trade.amountA;
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context.executionContext.balance.assetB = context.executionContext.balance.assetB + trade.amountB;
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context.executionContext.availableBalance.assetB = context.executionContext.availableBalance.assetB + trade.amountB;
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}
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if (trade.type === 'sell') {
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context.executionContext.balance.assetA = context.executionContext.balance.assetA + trade.amountA;
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context.executionContext.balance.assetB = context.executionContext.balance.assetB - trade.amountB;
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context.executionContext.availableBalance.assetA = context.executionContext.availableBalance.assetA + trade.amountA;
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}
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}
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/* Calculate Profits */
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if (context.executionContext.investment.assetA > 0) {
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context.executionContext.profits.assetA = (context.executionContext.balance.assetA - context.executionContext.investment.assetA) / context.executionContext.investment.assetA;
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}
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if (context.executionContext.investment.assetB > 0) {
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context.executionContext.profits.assetB = (context.executionContext.balance.assetB - context.executionContext.investment.assetB) / context.executionContext.investment.assetB;
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}
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}
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} catch (err) {
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logger.write("[ERROR] ordersExecutionCheck -> err = " + err.message);
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callBack(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function putPosition(pType, pRate, pAmountA, pAmountB, callBack) {
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function putPosition(pType, pRate, pAmountA, pAmountB, callBackFunction) {
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try {
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if (FULL_LOG === true) { logger.write("[INFO] putPosition -> Entering function."); }
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@@ -451,6 +485,62 @@
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if (FULL_LOG === true) { logger.write("[INFO] putPosition -> pAmountA = " + pAmountA); }
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if (FULL_LOG === true) { logger.write("[INFO] putPosition -> pAmountB = " + pAmountB); }
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/* Validations that the limits are not surpassed. */
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if (pType === 'buy') {
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if (pAmountA > context.executionContext.availableBalance.assetA) {
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logger.write("[ERROR] putPosition -> Input Validations -> pAmountA is grater than the Available Balance.");
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logger.write("[ERROR] putPosition -> Input Validations -> pAmountA = " + pAmountA);
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logger.write("[ERROR] putPosition -> Input Validations -> Available Balance = " + context.executionContext.availableBalance.assetA);
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let err = {
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result: global.DEFAULT_FAIL_RESPONSE.result;
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message: 'pAmountA is grater than the Available Balance.'
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};
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callBackFunction(err);
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return;
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}
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}
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if (pType === 'sell') {
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if (pAmountB > context.executionContext.availableBalance.assetB) {
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logger.write("[ERROR] putPosition -> Input Validations -> pAmountB is grater than the Available Balance.");
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logger.write("[ERROR] putPosition -> Input Validations -> pAmountB = " + pAmountB);
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logger.write("[ERROR] putPosition -> Input Validations -> Available Balance = " + context.executionContext.availableBalance.assetB);
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let err = {
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result: global.DEFAULT_FAIL_RESPONSE.result;
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message: 'pAmountB is grater than the Available Balance.'
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};
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callBackFunction(err);
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return;
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}
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}
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if (pAmountB * pRate !== pAmountA) {
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logger.write("[ERROR] putPosition -> Input Validations -> pAmountB * pRate !== pAmountA.");
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logger.write("[ERROR] putPosition -> Input Validations -> pAmountB = " + pAmountA);
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logger.write("[ERROR] putPosition -> Input Validations -> pAmountB = " + pAmountB);
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logger.write("[ERROR] putPosition -> Input Validations -> pAmountB = " + pRate);
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let err = {
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result: global.DEFAULT_FAIL_RESPONSE.result;
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message: 'pAmountB * pRate !== pAmountA'
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};
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callBackFunction(err);
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return;
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}
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/* All validations passed, we proceed. */
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exchangeAPI.putPosition(global.MARKET, pType, pRate, pAmountA, pAmountB, onResponse);
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function onResponse(err, pPositionId) {
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@@ -484,37 +574,50 @@
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context.executionContext.transactions.push(newTransaction);
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context.newHistoryRecord.newPositions++;
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context.newHistoryRecord.rate = pRate;
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callBack(global.DEFAULT_OK_RESPONSE);
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recalculateRateAverages();
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/* Recalculate Available Balances */
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if (position.type === 'buy') {
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context.executionContext.availableBalance.assetA = context.executionContext.availableBalance.assetA - trade.amountA;
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}
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if (position.type === 'sell') {
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context.executionContext.availableBalance.assetB = context.executionContext.availableBalance.assetB - trade.amountB;
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}
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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return;
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}
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break;
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case global.DEFAULT_RETRY_RESPONSE.result: { // Something bad happened, but if we retry in a while it might go through the next time.
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logger.write("[ERROR] putPosition -> onResponse -> Retry Later. Requesting Execution Retry.");
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callBack(global.DEFAULT_RETRY_RESPONSE);
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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return;
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}
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break;
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case global.DEFAULT_FAIL_RESPONSE.result: { // This is an unexpected exception that we do not know how to handle.
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logger.write("[ERROR] putPosition -> onResponse -> Operation Failed. Aborting the process.");
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callBack(global.DEFAULT_FAIL_RESPONSE);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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return;
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}
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break;
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}
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} catch (err) {
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logger.write("[ERROR] putPosition -> onResponse -> err = " + err.message);
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callBack(global.DEFAULT_FAIL_RESPONSE);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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} catch (err) {
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logger.write("[ERROR] putPosition -> err = " + err.message);
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callBack(global.DEFAULT_FAIL_RESPONSE);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function movePosition(pPosition, pNewRate, callBack) {
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function movePosition(pPosition, pNewRate, callBackFunction) {
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try {
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if (FULL_LOG === true) { logger.write("[INFO] movePosition -> Entering function."); }
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@@ -550,9 +653,9 @@
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for (let i = 0; i < context.executionContext.positions.length; i++) {
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if (context.executionContext.positions[i].id === pPosition.id) {
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if (position.id === pPosition.id) {
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context.executionContext.positions[i] = newPosition;
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position = newPosition;
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break;
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}
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@@ -567,36 +670,88 @@
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context.executionContext.transactions.push(newTransaction);
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context.newHistoryRecord.movedPositions++;
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context.newHistoryRecord.rate = pNewRate;
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callBack(global.DEFAULT_OK_RESPONSE);
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recalculateRateAverages();
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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}
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break;
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case global.DEFAULT_RETRY_RESPONSE.result: { // Something bad happened, but if we retry in a while it might go through the next time.
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logger.write("[ERROR] movePosition -> onResponse -> Retry Later. Requesting Execution Retry.");
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callBack(global.DEFAULT_RETRY_RESPONSE);
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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return;
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}
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break;
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case global.DEFAULT_FAIL_RESPONSE.result: { // This is an unexpected exception that we do not know how to handle.
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logger.write("[ERROR] movePosition -> onResponse -> Operation Failed. Aborting the process.");
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callBack(global.DEFAULT_FAIL_RESPONSE);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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return;
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}
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break;
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}
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} catch (err) {
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logger.write("[ERROR] movePosition -> onResponse -> err = " + err.message);
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callBack(global.DEFAULT_FAIL_RESPONSE);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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} catch (err) {
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logger.write("[ERROR] movePosition -> err = " + err.message);
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callBack(global.DEFAULT_FAIL_RESPONSE);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function recalculateRateAverages() {
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/* This function calculates the weighted rates of buy and sell positions. This is a way to summarize with only one rate, where the positions are. */
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let sumBuyWeightedRates = 0;
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let sumSellWeightedRates = 0;
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let sumBuyWeights = 0;
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let sumSellWeights = 0;
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for (let i = 0; i < context.executionContext.positions.length; i++) {
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let position = context.executionContext.positions[i];
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if (position.type === 'buy') {
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sumBuyWeightedRates = sumBuyWeightedRates + position.rate * position.amountB
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sumBuyWeights = sumBuyWeights + position.amountB;
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}
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if (position.type === 'sell') {
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sumSellWeightedRates = sumSellWeightedRates + position.rate * position.amountB
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sumSellWeights = sumSellWeights + position.amountB;
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}
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}
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context.newHistoryRecord.buyAvgRate = sumBuyWeightedRates / sumBuyWeights;
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context.newHistoryRecord.sellAvgRate = sumSellWeightedRates / sumSellWeights;
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}
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function getPositions() {
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return JSON.parse(JSON.stringify(context.executionContext.positions));
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}
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function getBalance() {
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return JSON.parse(JSON.stringify(context.executionContext.balance));
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}
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function getAvailableBalance() {
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return JSON.parse(JSON.stringify(context.executionContext.availableBalance));
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}
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function getInvestment() {
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return JSON.parse(JSON.stringify(context.executionContext.investment));
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}
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function getProfits() {
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return JSON.parse(JSON.stringify(context.executionContext.profits));
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}
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};
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+27
-7
@@ -38,10 +38,15 @@
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executionContext: undefined, // Here is the business information of the last execution of this bot process.
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newHistoryRecord : {
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date: undefined,
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rate: 0, // This will be used to know where to plot this information in the time line.
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buyAvgRate: 0,
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sellAvgRate: 0,
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newPositions: 0,
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newTrades: 0,
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movedPositions: 0
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movedPositions: 0,
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profitsAssetA: 0,
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profitsAssetB: 0,
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profitsCombinedInA: 0,
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profitsCombinedInB: 0
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},
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initialize: initialize,
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saveThemAll: saveThemAll
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@@ -316,11 +321,20 @@
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thisObject.executionHistory = [];
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thisObject.executionContext = {
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investment: {
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investment: { // This is used to calculate profits.
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assetA: 0,
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assetB: 0
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assetB: global.INITIAL_INVESTMENT
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},
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availableBalance: {
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balance: { // This is the total balance that includes positions at the order book + funds available to be traded.
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assetA: 0,
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assetB: global.INITIAL_INVESTMENT // It starts with the initial investment.
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},
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availableBalance: { // This is the balance the bot has at any moment in time available to be traded (not in positions at the order book).
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assetA: 0,
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assetB: global.INITIAL_INVESTMENT // It starts with the initial investment.
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},
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profitsAsset: global.PROFIT_BASE_ASSET,
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profits: {
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||||
assetA: 0,
|
||||
assetB: 0
|
||||
},
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||||
@@ -467,10 +481,16 @@
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||||
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let newRecord = [
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||||
thisObject.newHistoryRecord.date.valueOf(),
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||||
thisObject.newHistoryRecord.rate,
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||||
thisObject.newHistoryRecord.buyAvgRate,
|
||||
thisObject.newHistoryRecord.sellAvgRate,
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||||
thisObject.newHistoryRecord.marketRate,
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||||
thisObject.newHistoryRecord.newPositions,
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||||
thisObject.newHistoryRecord.newTrades,
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thisObject.newHistoryRecord.movedPositions
|
||||
thisObject.newHistoryRecord.movedPositions,
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||||
thisObject.newHistoryRecord.profitsAssetA,
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||||
thisObject.newHistoryRecord.profitsAssetB,
|
||||
thisObject.newHistoryRecord.profitsCombinedInA,
|
||||
thisObject.newHistoryRecord.profitsCombinedInB
|
||||
];
|
||||
|
||||
thisObject.executionHistory.push(newRecord);
|
||||
|
||||
@@ -127,6 +127,16 @@ global.dailyFilePeriods =
|
||||
|
||||
global.dailyFilePeriods = JSON.parse(global.dailyFilePeriods);
|
||||
|
||||
/*
|
||||
In the current release, the platform is going to be used for the first competition, so we have a few parameters just for that. They will be removed later
|
||||
once we advance into multiple competitions scheme.
|
||||
*/
|
||||
|
||||
global.INITIAL_INVESTMENT = 0.0001;
|
||||
global.PROFIT_BASE_ASSET = 'BTC';
|
||||
|
||||
/* Some LAGACY code starts here. Pending for clean up. */
|
||||
|
||||
|
||||
|
||||
const START_ALL_MONTHS = false;
|
||||
|
||||
+1
-1
@@ -2,5 +2,5 @@
|
||||
"bot": {
|
||||
"path": "../Bots/AAMasters/AAMariam-Trading-Bot"
|
||||
},
|
||||
"stopGracefully": "false"
|
||||
"stopGracefully": "true"
|
||||
}
|
||||
Reference in new issue
Block a user