cleaning
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Luis Fernando Molina committed
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@@ -1,8 +1,5 @@
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exports.newTradingSystem = function newTradingSystem(bot, logger) {
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const MODULE_NAME = 'Trading System'
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const FULL_LOG = true
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let thisObject = {
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reset: reset,
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evalConditions: evalConditions,
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@@ -15,6 +12,10 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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checkTakeProfitPhaseEvents: checkTakeProfitPhaseEvents,
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calculateTakeProfit: calculateTakeProfit,
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checkStopLossOrTakeProfitWasHit: checkStopLossOrTakeProfitWasHit,
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getReadyToTakePosition: getReadyToTakePosition,
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takePosition: takePosition,
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getReadyToClosePosition: getReadyToClosePosition,
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closePosition: closePosition,
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exitStrategyAfterPosition: exitStrategyAfterPosition,
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getPositionSize: getPositionSize,
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getPositionRate: getPositionRate,
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@@ -138,7 +139,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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}
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> code = ' + code) }
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logger.write(MODULE_NAME, '[INFO] evalCondition -> code = ' + code)
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value = eval(code)
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} catch (err) {
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/*
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@@ -170,8 +171,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingSystem.values.push([node.id, value])
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}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> value = ' + value) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalCondition -> error = ' + error) }
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logger.write(MODULE_NAME, '[INFO] evalCondition -> value = ' + value)
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logger.write(MODULE_NAME, '[INFO] evalCondition -> error = ' + error)
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}
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function evalFormula(node) {
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@@ -179,7 +180,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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let error
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> code = ' + node.code) }
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logger.write(MODULE_NAME, '[INFO] evalFormula -> code = ' + node.code)
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value = eval(node.code)
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} catch (err) {
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/*
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@@ -208,8 +209,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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tradingSystem.values.push([node.id, value])
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}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> value = ' + value) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] evalFormula -> error = ' + error) }
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logger.write(MODULE_NAME, '[INFO] evalFormula -> value = ' + value)
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logger.write(MODULE_NAME, '[INFO] evalFormula -> error = ' + error)
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}
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function checkTriggerOn() {
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@@ -273,7 +274,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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saveAsLastTriggerOnSnapshot = true
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*/
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkTriggerOn -> Entering into Strategy: ' + strategy.name) }
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logger.write(MODULE_NAME, '[INFO] checkTriggerOn -> Entering into Strategy: ' + strategy.name)
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return true // This Means that we have just met the conditions to trigger on.
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}
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}
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@@ -325,7 +326,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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checkAnnouncements(triggerStage.triggerOff)
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*/
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkTriggerOff -> Closing Strategy: ' + strategy.name) }
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logger.write(MODULE_NAME, '[INFO] checkTriggerOff -> Closing Strategy: ' + strategy.name)
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return true // This Means that we have just met the conditions to trigger off.
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}
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}
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@@ -379,7 +380,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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saveAsLastTakePositionSnapshot = true
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*/
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkTakePosition -> Conditions at the Take Position Event were met.') }
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logger.write(MODULE_NAME, '[INFO] checkTakePosition -> Conditions at the Take Position Event were met.')
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return true // This Means that we have just met the conditions to take position.
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}
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}
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@@ -725,7 +726,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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(bot.sessionAndMarketBaseAssetsAreEqual && tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value) ||
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(sessionParameters.sessionBaseAsset.name !== bot.market.baseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.stopLoss.value)
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) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.') }
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logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.')
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/*
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Hit Point Validation
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@@ -772,7 +773,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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(bot.sessionAndMarketBaseAssetsAreEqual && tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value) ||
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(sessionParameters.sessionBaseAsset.name !== bot.market.baseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.takeProfit.value)
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) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.') }
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logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.')
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/*
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Hit Point Validation:
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@@ -819,6 +820,126 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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}
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}
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function getReadyToTakePosition() {
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/* Inicializing this counter */
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tradingEngine.current.distanceToEvent.takePosition.value = 1
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/* Position size and rate */
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tradingEngine.current.position.size.value = getPositionSize()
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tradingEngine.current.position.rate.value = getPositionRate()
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/* We take what was calculated at the formula and apply the slippage. */
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let slippageAmount = tradingEngine.current.position.rate.value * bot.SESSION.parameters.slippage.config.positionRate / 100
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value - slippageAmount
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} else {
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tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value + slippageAmount
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}
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/* Update the position information. */
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tradingEngine.current.position.begin.value = tradingEngine.current.candle.begin.value
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tradingEngine.current.position.beginRate.value = tradingEngine.current.position.rate.value
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}
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function takePosition() {
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calculateTakeProfit() // TODO: Check if this is really necesary
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calculateStopLoss() // TODO: Check if this is really necesary
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tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
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tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
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tradingEngine.last.position.profitLoss.value = 0
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tradingEngine.last.position.ROI.value = 0
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let feePaid = 0
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.current.position.size.value
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} else {
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feePaid = tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.current.position.size.value
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}
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}
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function getReadyToClosePosition() {
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/* Inicializing this counter */
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tradingEngine.current.distanceToEvent.closePosition.value = 1
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/* Position size and rate */
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let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
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}
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function closePosition() {
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tradingEngine.episode.positionCounters.positions.value++
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let feePaid = 0
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = 0
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} else {
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feePaid = tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = 0
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}
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.previous.balance.baseAsset.value
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tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
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if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
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tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.baseAsset.value - sessionParameters.sessionBaseAsset.config.initialBalance
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} else {
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tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.previous.balance.quotedAsset.value
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tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
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if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
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tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - sessionParameters.sessionQuotedAsset.config.initialBalance
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}
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tradingEngine.current.position.positionStatistics.ROI.value = tradingEngine.last.position.ROI.value
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if (tradingEngine.last.position.profitLoss.value > 0) {
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tradingEngine.episode.episodeCounters.hits.value++
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} else {
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tradingEngine.episode.episodeCounters.fails.value++
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}
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if (bot.sessionAndMarketBaseAssetsAreEqual) {
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tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionBaseAsset.config.initialBalance - 1
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tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
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tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
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} else {
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tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionQuotedAsset.config.initialBalance - 1
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tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
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tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
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}
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addRecords()
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tradingEngine.current.position.stopLoss.value = 0
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tradingEngine.current.position.takeProfit.value = 0
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tradingEngine.current.position.rate.value = 0
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tradingEngine.current.position.size.value = 0
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timerToCloseStage = candle.begin
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
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tradingEngine.current.position.stopLoss.stopLossPhase.value = -1
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = -1
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}
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function exitStrategyAfterPosition() {
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if (tradingEngine.current.strategy.stageType.value === 'Close Stage') {
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if (candle.begin - 5 * 60 * 1000 > timerToCloseStage) {
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@@ -832,9 +953,9 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
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timerToCloseStage = 0
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tradingEngine.current.distanceToEvent.triggerOff.value = 1
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] exitStrategyAfterPosition -> Exiting the Strategy.') }
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logger.write(MODULE_NAME, '[INFO] exitStrategyAfterPosition -> Exiting the Strategy.')
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} else {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] exitStrategyAfterPosition -> Waiting for timer.') }
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logger.write(MODULE_NAME, '[INFO] exitStrategyAfterPosition -> Waiting for timer.')
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}
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}
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}
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