More Warnings

TaskServer/LowFrequencyTrading/OrdersCalculations.js

@@ -143,6 +143,7 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
         recalculateSizePlaced()
 
         function recalculateActualSize() {
+            if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.rate.value) { return }
             /*
             Now we know the Actual Rate at which the order was filled. Since the actual rate
             is not the same as the Rate we defined for the order, we need to syncronize 
@@ -153,14 +154,24 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
             got the Order Size in Base Asset, either from direct imput from the user or calculated
             from the Order Size in Quoted Asset input it by the user. So here we go. 
             */
+            previousQuotedAssetActualSize = tradingEngineOrder.orderQuotedAsset.actualSize.value
+
             tradingEngineOrder.orderQuotedAsset.actualSize.value =
                 tradingEngineOrder.orderBaseAsset.actualSize.value *
                 tradingEngineOrder.orderStatistics.actualRate.value
 
             tradingEngineOrder.orderQuotedAsset.actualSize.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
+
+            tradingSystem.warnings.push(
+                [
+                    [tradingEngineOrder.orderQuotedAsset.actualSize.id, tradingEngineOrder.orderStatistics.actualRate.id],
+                    'Actual Size (' + previousQuotedAssetActualSize + ') recalculated (' + tradingEngineOrder.orderQuotedAsset.actualSize.value + ') because the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') is different than the Order Rate (' + tradingEngineOrder.rate.value + '))'
+                ]
+            )
         }
 
         function recalculateSizePlaced() {
+            let previousStageQuotedAssetSizePlaced = tradingEngineStage.stageQuotedAsset.sizePlaced.value
             /*
             Since we changed the Actual Size in Quoted Asset, we need to fix the Size Placed in Quoted Asset
             that was previously calculated with the previous value of actualSize.
@@ -174,6 +185,13 @@ exports.newOrdersCalculations = function newOrdersCalculations(bot, logger) {
                 tradingEngineOrder.orderQuotedAsset.actualSize.value
 
             tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
+
+            tradingSystem.warnings.push(
+                [
+                    [tradingEngineStage.stageQuotedAsset.sizePlaced.id, tradingEngineOrder.orderStatistics.actualRate.id],
+                    'Size Placed (' + previousStageQuotedAssetSizePlaced + ') recalculated (' + tradingEngineStage.stageQuotedAsset.sizePlaced.value + ') because the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') is different than the Order Rate (' + tradingEngineOrder.rate.value + '))'
+                ]
+            )
         }
     }
 

TaskServer/LowFrequencyTrading/OrdersSimulations.js

@@ -53,7 +53,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
 
     function actualRateSimulation(tradingEngineStage, tradingSystemOrder, tradingEngineOrder, applyFeePercentage) {
         /* Actual Rate Simulation */
-        let previousQuotedAssetActualSize
+        let previousQuotedAssetActualSize = tradingEngineOrder.orderQuotedAsset.actualSize.value
 
         basedOnSessionParameters()
         basedOnTradingSystem()
@@ -68,7 +68,7 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
             is a definition for this order on how to calculate the actual rate.
             */
             if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
-                if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) { 
+                if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
                     return
                 }
             }
@@ -188,20 +188,27 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
         }
 
         function recalculateActualSize() {
+            if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.rate.value) { return }
             /*
             Now that we have an Actual Rate, we need to adjust the Actual Size in Quoted Asset, since 
             Base Asset is what the exchange accepts as input and give information at. Quotes Asset properties are always calculated.
             */
-            previousQuotedAssetActualSize = tradingEngineOrder.orderQuotedAsset.actualSize.value
-
             tradingEngineOrder.orderQuotedAsset.actualSize.value =
                 tradingEngineOrder.orderBaseAsset.actualSize.value *
                 tradingEngineOrder.orderStatistics.actualRate.value
 
             tradingEngineOrder.orderQuotedAsset.actualSize.value = global.PRECISE(tradingEngineOrder.orderQuotedAsset.actualSize.value, 10)
+
+            tradingSystem.warnings.push(
+                [
+                    [tradingEngineOrder.orderQuotedAsset.actualSize.id, tradingEngineOrder.orderStatistics.actualRate.id],
+                    'Actual Size (' + previousQuotedAssetActualSize + ') recalculated (' + tradingEngineOrder.orderQuotedAsset.actualSize.value + ') because the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') is different than the Order Rate (' + tradingEngineOrder.rate.value + '))'
+                ]
+            )
         }
 
         function recalculateSizePlaced() {
+            if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.rate.value) { return }
             /*
             Since the Actual Rate might have changed, we need to recalculate the Size Placed, where we accumulate all the Size Placed of
             all orders of a Stage. For Base Asset there is nothing to do, since the Actual Rate does not have an inpact on it. 
@@ -209,6 +216,8 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
             For Quoted Asset, we need to first unaccount what this same orded added before to Size Placed (with the precious Actual Size) and
             account with the new Actual Size. 
             */
+            let previousStageQuotedAssetSizePlaced = tradingEngineStage.stageQuotedAsset.sizePlaced.value
+
             tradingEngineStage.stageQuotedAsset.sizePlaced.value =
                 tradingEngineStage.stageQuotedAsset.sizePlaced.value -
                 previousQuotedAssetActualSize
@@ -218,6 +227,13 @@ exports.newOrdersSimulations = function newOrdersSimulations(bot, logger) {
                 tradingEngineOrder.orderQuotedAsset.actualSize.value
 
             tradingEngineStage.stageQuotedAsset.sizePlaced.value = global.PRECISE(tradingEngineStage.stageQuotedAsset.sizePlaced.value, 10)
+
+            tradingSystem.warnings.push(
+                [
+                    [tradingEngineStage.stageQuotedAsset.sizePlaced.id, tradingEngineOrder.orderStatistics.actualRate.id],
+                    'Size Placed (' + previousStageQuotedAssetSizePlaced + ') recalculated (' + tradingEngineStage.stageQuotedAsset.sizePlaced.value + ') because the Actual Rate (' + tradingEngineOrder.orderStatistics.actualRate.value + ') is different than the Order Rate (' + tradingEngineOrder.rate.value + '))'
+                ]
+            )
         }
     }