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File for Executor

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This commit is contained in:
Luis Fernando Molina committed 2019-07-05 18:32:23 +02:00
1 parent 27b1af9ef4
commit 82294ff6ef
3 files changed
+197 -37
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Commons.js
+44 -31
View File
@@ -65,6 +65,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> Entering function."); }
let executionArray = [];
let recordsArray = [];
let conditionsArray = [];
let strategiesArray = [];
@@ -893,7 +894,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (passed) {
type = '"Sell"';
type = '"Take Position"';
strategyStage = 'Open Stage';
stopLossStage = 'Open Stage';
@@ -1153,7 +1154,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
marketRate = stopLoss;
type = '"Buy@StopLoss"';
type = '"Close@StopLoss"';
strategyStage = 'Close Stage';
stopLossStage = 'No Stage';
takeProfitStage = 'No Stage';
@@ -1189,7 +1190,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
marketRate = takeProfit;
type = '"Buy@TakeProfit"';
type = '"Close@TakeProfit"';
strategyStage = 'Close Stage';
stopLossStage = 'No Stage';
takeProfitStage = 'No Stage';
@@ -1380,21 +1381,25 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let messageType;
let message;
let simulationRecord;
let orderRecord;
let executionRecord;
let executionMessage;
messageId++;
if (strategyStage === 'Open Stage' || strategyStage === 'Manage Stage') {
if (strategyStage === 'Open Stage' || strategyStage === 'Manage Stage' || type === '"Close@TakeProfit"' || type === '"Close@StopLoss"') {
if (strategyStage === 'Open Stage') {
if (type === '"Take Position"') {
messageType = MESSAGE_TYPE.Order;
orderId++;
}
if (strategyStage === 'Manage Stage') {
messageType = MESSAGE_TYPE.OrderUpdate;
} else {
if (type === '"Close@TakeProfit"' || type === '"Close@StopLoss"') {
messageType = MESSAGE_TYPE.OrderUpdate;
} else {
messageType = MESSAGE_TYPE.OrderUpdate;
}
}
orderRecord = createMessage(
executionMessage = createMessage(
messageId,
MESSAGE_ENTITY.SimulationEngine,
MESSAGE_ENTITY.SimulationExecutor,
@@ -1420,7 +1425,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
else {
orderRecord = createMessage(
executionMessage = createMessage(
messageId,
MESSAGE_ENTITY.SimulationEngine,
MESSAGE_ENTITY.SimulationExecutor,
@@ -1444,6 +1449,14 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
"")
}
executionRecord = {
begin: candle.begin,
end: candle.end,
executionRecord: executionMessage
}
executionArray.push(executionRecord)
let strategyStageNumber
switch (strategyStage) {
case 'No Stage': {
@@ -1504,7 +1517,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
takeProfit: takeProfit,
stopLossPhase: stopLossPhase,
takeProfitPhase: takeProfitPhase,
orderRecord: orderRecord,
executionRecord: executionMessage,
positionSize: positionSize,
initialBalanceA: initialBalanceA,
minimumBalanceA: minimumBalanceA,
@@ -1605,7 +1618,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> callback -> recordsArray.length = " + recordsArray.length); }
callback(tradingSystem, recordsArray, conditionsArray, strategiesArray, tradesArray, lastObjectsArray);
callback(tradingSystem, executionArray, recordsArray, conditionsArray, strategiesArray, tradesArray, lastObjectsArray);
function getElement(pArray, begin, end) {
@@ -1653,17 +1666,17 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (previous !== undefined) {
if (previous._15 > LRC._15) { LRC.direction15 = 'down'; }
if (previous._15 < LRC._15) { LRC.direction15 = 'up'; }
if (previous._15 === LRC._15) { LRC.direction15 = 'side'; }
if (previous._15 > LRC._15) { LRC.direction15 = 'Down'; }
if (previous._15 < LRC._15) { LRC.direction15 = 'Up'; }
if (previous._15 === LRC._15) { LRC.direction15 = 'Side'; }
if (previous._30 > LRC._30) { LRC.direction30 = 'down'; }
if (previous._30 < LRC._30) { LRC.direction30 = 'up'; }
if (previous._30 === LRC._30) { LRC.direction30 = 'side'; }
if (previous._30 > LRC._30) { LRC.direction30 = 'Down'; }
if (previous._30 < LRC._30) { LRC.direction30 = 'Up'; }
if (previous._30 === LRC._30) { LRC.direction30 = 'Side'; }
if (previous._60 > LRC._60) { LRC.direction60 = 'down'; }
if (previous._60 < LRC._60) { LRC.direction60 = 'up'; }
if (previous._60 === LRC._60) { LRC.direction60 = 'side'; }
if (previous._60 > LRC._60) { LRC.direction60 = 'Down'; }
if (previous._60 < LRC._60) { LRC.direction60 = 'Up'; }
if (previous._60 === LRC._60) { LRC.direction60 = 'Side'; }
}
@@ -1700,9 +1713,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (previous !== undefined) {
if (previous.movingAverage > percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'down'; }
if (previous.movingAverage < percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'up'; }
if (previous.movingAverage === percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'side'; }
if (previous.movingAverage > percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'Down'; }
if (previous.movingAverage < percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'Up'; }
if (previous.movingAverage === percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'Side'; }
}
@@ -1739,9 +1752,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (previous !== undefined) {
if (previous.movingAverage > bollingerBand.movingAverage) { bollingerBand.direction = 'down'; }
if (previous.movingAverage < bollingerBand.movingAverage) { bollingerBand.direction = 'up'; }
if (previous.movingAverage === bollingerBand.movingAverage) { bollingerBand.direction = 'side'; }
if (previous.movingAverage > bollingerBand.movingAverage) { bollingerBand.direction = 'Down'; }
if (previous.movingAverage < bollingerBand.movingAverage) { bollingerBand.direction = 'Up'; }
if (previous.movingAverage === bollingerBand.movingAverage) { bollingerBand.direction = 'Side'; }
}
@@ -1856,9 +1869,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
candle.begin = dataFile[i][4];
candle.end = dataFile[i][5];
if (candle.open > candle.close) { candle.direction = 'down'; }
if (candle.open < candle.close) { candle.direction = 'up'; }
if (candle.open === candle.close) { candle.direction = 'side'; }
if (candle.open > candle.close) { candle.direction = 'Down'; }
if (candle.open < candle.close) { candle.direction = 'Up'; }
if (candle.open === candle.close) { candle.direction = 'Side'; }
candle.previous = previous;
Multi-Period-Daily/User.Bot.js
+79 -3
View File
@@ -5,6 +5,7 @@
const MODULE_NAME = "User Bot";
const EXECUTION_FOLDER_NAME = "Trading-Execution";
const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
@@ -104,16 +105,91 @@
writeFiles,
callBackFunction)
function writeFiles(pTradingSystem, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) {
function writeFiles(pTradingSystem, pExecutionArray, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) {
tradingSystem = pTradingSystem
executionArray = pExecutionArray
recordsArray = pRecordsArray
conditionsArray = pConditionsArray
strategiesArray = pStrategiesArray
tradesArray = pTradesArray
lastObjectsArray = pLastObjectsArray
writeRecordsFile()
writeExecutionFile()
}
function writeExecutionFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < executionArray.length; i++) {
let record = executionArray[i];
/* Will only add to the file the records of the current day */
if (record.begin < currentDay.valueOf()) { continue; }
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
JSON.stringify(record.executionRecord) + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
let filePath = filePathRoot + "/Output/" + EXECUTION_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
filePath += '/' + fileName
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
writeRecordsFile();
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeRecordsFile() {
@@ -161,7 +237,7 @@
record.takeProfit + "," +
record.stopLossPhase + "," +
record.takeProfitPhase + "," +
JSON.stringify(record.orderRecord) + "," +
JSON.stringify(record.executionRecord) + "," +
record.positionSize + "," +
record.initialBalanceA + "," +
record.minimumBalanceA + "," +
Multi-Period-Market/User.Bot.js
+74 -3
View File
@@ -5,6 +5,7 @@
const MODULE_NAME = "User Bot";
const EXECUTION_FOLDER_NAME = "Trading-Execution";
const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
@@ -104,16 +105,86 @@
writeFiles,
callBackFunction)
function writeFiles(pTradingSystem, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) {
function writeFiles(pTradingSystem, pExecutionArray, pRecordsArray, pConditionsArray, pStrategiesArray, pTradesArray, pLastObjectsArray) {
tradingSystem = pTradingSystem
executionArray = pExecutionArray
recordsArray = pRecordsArray
conditionsArray = pConditionsArray
strategiesArray = pStrategiesArray
tradesArray = pTradesArray
lastObjectsArray = pLastObjectsArray
writeRecordsFile()
writeExecutionFile()
}
function writeExecutionFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < executionArray.length; i++) {
let record = executionArray[i];
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
JSON.stringify(record.executionRecord) + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.CLONE_EXECUTOR.codeName + "." + global.CLONE_EXECUTOR.version + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
let filePath = filePathRoot + "/Output/" + EXECUTION_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + outputPeriodLabel;
filePath += '/' + fileName
fileStorage.createTextFile(bot.devTeam, filePath, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeExecutionFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
writeRecordsFile();
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> onFileCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeExecutionFile -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeRecordsFile() {
@@ -157,7 +228,7 @@
record.takeProfit + "," +
record.stopLossPhase + "," +
record.takeProfitPhase + "," +
JSON.stringify(record.orderRecord) + "," +
JSON.stringify(record.executionRecord) + "," +
record.positionSize + "," +
record.initialBalanceA + "," +
record.minimumBalanceA + "," +