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Luis Fernando Molina committed 2020-06-13 13:22:53 +02:00
1 parent f8b110e28a
commit 83d54fefe2
8 files changed
+42 -47
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Commons.js
+5 -7
View File
@@ -2,8 +2,6 @@
const FULL_LOG = true;
const LOG_FILE_CONTENT = false;
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
const ONE_MIN_IN_MILISECONDS = 60 * 1000;
const MODULE_NAME = "Commons";
@@ -199,7 +197,7 @@
let system = { // These are the available system variables to be used in User Code and Formulas
timeFrame: timeFrame,
ONE_DAY_IN_MILISECONDS: ONE_DAY_IN_MILISECONDS
ONE_DAY_IN_MILISECONDS: global.ONE_DAY_IN_MILISECONDS
}
let variable = {} // This is the structure where the user will define its own variables that will be shared across different code blocks and formulas.
let results = []
@@ -290,8 +288,8 @@
let yesterday = {}
let system = { // These are the available system variables to be used in User Code and Formulas
timeFrame: timeFrame,
ONE_DAY_IN_MILISECONDS: ONE_DAY_IN_MILISECONDS,
ONE_MIN_IN_MILISECONDS: ONE_MIN_IN_MILISECONDS
ONE_DAY_IN_MILISECONDS: global.ONE_DAY_IN_MILISECONDS,
ONE_MIN_IN_MILISECONDS: global.ONE_MIN_IN_MILISECONDS
}
let variable = {} // This is the structure where the user will define its own variables that will be shared across different code blocks and formulas.
let results = []
@@ -340,7 +338,7 @@
if (processingDailyFiles) {
/* Initialization of Last Instance */
lastInstantOfTheDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1;
lastInstantOfTheDay = currentDay.valueOf() + global.ONE_DAY_IN_MILISECONDS - 1;
if (interExecutionMemory[productName] === undefined) {
/* The first time the intialization variables goes to the Inter Execution Memory. */
@@ -457,7 +455,7 @@
at the next day, in whole, even if it starts in the previous day.
*/
let lastInstantOdDay = currentDay.valueOf() + ONE_DAY_IN_MILISECONDS - 1;
let lastInstantOdDay = currentDay.valueOf() + global.ONE_DAY_IN_MILISECONDS - 1;
if (record.end < currentDay.valueOf() - 1) { continue; }
if (record.end === lastInstantOdDay) { continue; }
IndicatorOutput.js
-4
View File
@@ -1,9 +1,5 @@
exports.newIndicatorOutput = function newIndicatorOutput(bot, logger, UTILITIES, FILE_STORAGE) {
const FULL_LOG = true;
const LOG_FILE_CONTENT = false;
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
const MODULE_NAME = "Indicator Bot";
let thisObject = {
LowFrequencyTrading/TradingEngine.js
+5 -2
View File
@@ -16,6 +16,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
}
let tradingEngine
let sessionParameters
return thisObject
@@ -23,6 +24,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
/* Here we will go through all the nodes in the Trading Engine hiriarchy and apply the initial value to the value property when needed */
tradingEngine = bot.simulationState.tradingEngine
sessionParameters = bot.SESSION.parameters
if (tradingEngine.isInitialized !== true || bot.RESUME === false) {
tradingEngine.isInitialized = true
@@ -32,6 +34,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
function finalize() {
tradingEngine = undefined
sessionParameters = undefined
}
function setCurrentCandle(candle) {
@@ -131,7 +134,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
function updateEpisodeCountersAndStatistics() {
tradingEngine.episode.episodeCounters.periods++
tradingEngine.episode.episodeStatistics.days = tradingEngine.episode.episodeCounters.periods * sessionParameters.timeFrame.config.value / ONE_DAY_IN_MILISECONDS
tradingEngine.episode.episodeStatistics.days = tradingEngine.episode.episodeCounters.periods * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
}
function updatePositionCountersAndStatistics() {
@@ -144,7 +147,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
}
tradingEngine.current.position.positionCounters.periods.value++
tradingEngine.current.position.positionStatistics.days.value = tradingEngine.current.position.positionCounters.periods.value * sessionParameters.timeFrame.config.value / ONE_DAY_IN_MILISECONDS
tradingEngine.current.position.positionStatistics.days.value = tradingEngine.current.position.positionCounters.periods.value * sessionParameters.timeFrame.config.value / global.ONE_DAY_IN_MILISECONDS
} else {
tradingEngine.current.position.positionCounters.periods.value = 0
tradingEngine.current.position.positionStatistics.days.value = 0
LowFrequencyTrading/TradingExecution.js
+4 -4
View File
@@ -86,7 +86,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
/* We wont take a position unless we are withing the sessionParameters.timeRange.config.initialDatetime and the sessionParameters.timeRange.config.finalDatetime range */
if (sessionParameters.timeRange.config.initialDatetime !== undefined) {
if (candle.end < sessionParameters.timeRange.config.initialDatetime.valueOf()) {
if (candle.end < sessionParameters.timeRange.config.initialDatetime) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because current candle ends before the start date. -> sessionParameters.timeRange.config.initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) }
takePositionAtSimulation()
return
@@ -95,7 +95,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
/* We wont take a position if we are past the final datetime */
if (sessionParameters.timeRange.config.finalDatetime !== undefined) {
if (candle.begin > sessionParameters.timeRange.config.finalDatetime.valueOf()) {
if (candle.begin > sessionParameters.timeRange.config.finalDatetime) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> putOpeningOrder -> Not placing the trade at the exchange because current candle begins after the end date. -> sessionParameters.timeRange.config.finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) }
takePositionAtSimulation()
return
@@ -115,8 +115,8 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
/* We are not going to place orders based on outdated information. The next filter prevents firing orders when backtesting. */
if (currentDay) {
let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
let processDay = new Date(Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
let today = new Date(Math.trunc((new Date().valueOf()) / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
let processDay = new Date(Math.trunc(currentDay.valueOf() / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
if (today.valueOf() !== processDay.valueOf()) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the current candle belongs to the previous day and that is considered simulation and not live trading.') }
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> today = ' + today) }
LowFrequencyTrading/TradingProcess.js
+6 -7
View File
@@ -8,7 +8,6 @@
const LOG_FILE_CONTENT = false;
const MODULE_NAME = "Trading Process";
const GMT_SECONDS = ':00.000 GMT+0000';
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
thisObject = {
initialize: initialize,
@@ -125,7 +124,7 @@
contextVariables.dateEndOfMarket = new Date(thisReport.lastFile.valueOf());
/* Validation that the data is not up-to-date. */
if (bot.tradingProcessDate.valueOf() - ONE_DAY_IN_MILISECONDS > contextVariables.dateEndOfMarket.valueOf() && bot.SESSION.type !== "Backtesting Session") {
if (bot.tradingProcessDate.valueOf() - global.ONE_DAY_IN_MILISECONDS > contextVariables.dateEndOfMarket.valueOf() && bot.SESSION.type !== "Backtesting Session") {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> getContextVariables -> " + "Head of the market is @ " + contextVariables.dateEndOfMarket); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] start -> getContextVariables -> You need to UPDATE your datasets in order to run a " + bot.SESSION.type) }
@@ -359,12 +358,12 @@
buildCharts()
return
}
bot.tradingProcessDate = new Date(contextVariables.lastFile.valueOf() - ONE_DAY_IN_MILISECONDS); // Go back one day to start well when we advance time at the begining of the loop.
bot.tradingProcessDate = new Date(contextVariables.lastFile.valueOf() - global.ONE_DAY_IN_MILISECONDS); // Go back one day to start well when we advance time at the begining of the loop.
advanceTime();
function advanceTime() {
bot.tradingProcessDate = new Date(bot.tradingProcessDate.valueOf() + ONE_DAY_IN_MILISECONDS);
previousDay = new Date(bot.tradingProcessDate.valueOf() - ONE_DAY_IN_MILISECONDS);
bot.tradingProcessDate = new Date(bot.tradingProcessDate.valueOf() + global.ONE_DAY_IN_MILISECONDS);
previousDay = new Date(bot.tradingProcessDate.valueOf() - global.ONE_DAY_IN_MILISECONDS);
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processDailyFiles -> advanceTime -> bot.tradingProcessDate = " + bot.tradingProcessDate); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processDailyFiles -> advanceTime -> previousDay = " + previousDay); }
@@ -381,7 +380,7 @@
}
/* Validation that we are not going past the head of the market. */
if (bot.tradingProcessDate.valueOf() > contextVariables.dateEndOfMarket.valueOf() + ONE_DAY_IN_MILISECONDS - 1) {
if (bot.tradingProcessDate.valueOf() > contextVariables.dateEndOfMarket.valueOf() + global.ONE_DAY_IN_MILISECONDS - 1) {
const logText = "Head of the market found @ " + previousDay.getUTCFullYear() + "/" + (previousDay.getUTCMonth() + 1) + "/" + previousDay.getUTCDate() + ".";
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processDailyFiles -> advanceTime -> " + logText); }
@@ -674,7 +673,7 @@
function writeDataRange(pBegin, pEnd, productCodeName, currentTimeFrameLabel, callBack) {
let dataRange = {
begin: pBegin.valueOf(),
end: pEnd.valueOf() + ONE_DAY_IN_MILISECONDS
end: pEnd.valueOf() + global.ONE_DAY_IN_MILISECONDS
};
let fileContent = JSON.stringify(dataRange);
LowFrequencyTrading/TradingSimulation.js
+15 -16
View File
@@ -1,6 +1,5 @@
exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILITIES) {
const FULL_LOG = true
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000
const MODULE_NAME = 'Trading Simulation -> ' + bot.SESSION.name
let thisObject = {
@@ -110,7 +109,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
} else {
/* Estimate Initial Candle based on the timeRage configured for the session. */
let firstEnd = candles[0].end
let targetEnd = sessionParameters.timeRange.config.initialDatetime.valueOf()
let targetEnd = sessionParameters.timeRange.config.initialDatetime
let diff = targetEnd - firstEnd
let amount = diff / sessionParameters.timeFrame.config.value
@@ -143,13 +142,13 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
return
}
if (checkInitialAndFinalDatetime() === false) {
if (checkMinimunAndMaximunBalance() === false) {
afterLoop()
return
}
if (checkMinimunAndMaximunBalance() === false) {
afterLoop()
if (checkInitialAndFinalDatetime() === false) {
controlLoop()
return
}
@@ -276,15 +275,15 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
function heartBeat() {
/* We will produce a simulation level heartbeat in order to inform the user this is running. */
heartBeatDate = new Date(Math.trunc(candle.begin / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
heartBeatDate = new Date(Math.trunc(tradingEngine.current.candle.begin.value / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
if (heartBeatDate.valueOf() !== previousheartBeatDate) {
let processingDate = heartBeatDate.getUTCFullYear() + '-' + utilities.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + utilities.pad(heartBeatDate.getUTCDate(), 2)
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + tradingEngine.current.candle.index.value + ' @ ' + processingDate) }
/* Telling the world we are alive and doing well */
let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime.valueOf())
let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime.valueOf())
let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime)
let lastDate = new Date(sessionParameters.timeRange.config.finalDatetime)
let currentDateString = heartBeatDate.getUTCFullYear() + '-' + utilities.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + utilities.pad(heartBeatDate.getUTCDate(), 2)
let currentDate = new Date(heartBeatDate)
@@ -335,7 +334,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
if (dataDependencyNode.referenceParent.config.codeName !== 'Multi-Period-Market') { continue }
let singularVariableName = dataDependencyNode.referenceParent.parentNode.config.singularVariableName
let pluralVariableName = dataDependencyNode.referenceParent.parentNode.config.pluralVariableName
let currentElement = getElement(thisChart[pluralVariableName], candle, 'Market' + '-' + mapKey + '-' + pluralVariableName)
let currentElement = getElement(thisChart[pluralVariableName], 'Market' + '-' + mapKey + '-' + pluralVariableName)
thisChart[singularVariableName] = currentElement
}
}
@@ -358,22 +357,22 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
}
function getElement(pArray, currentCandle, datasetName) {
function getElement(pArray, datasetName) {
if (pArray === undefined) { return }
try {
let element
for (let i = 0; i < pArray.length; i++) {
element = pArray[i]
if (currentCandle.end === element.end) { // when there is an exact match at the end we take that element
if (tradingEngine.current.candle.end.value === element.end) { // when there is an exact match at the end we take that element
return element
} else {
if (
i > 0 &&
element.end > currentCandle.end
element.end > tradingEngine.current.candle.end.value
) {
let previousElement = pArray[i - 1]
if (previousElement.end < currentCandle.end) {
if (previousElement.end < tradingEngine.current.candle.end.value) {
return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element.
} else {
return
@@ -395,7 +394,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
when we are processing Market Files than when we are processing Daily Files. TODO Check that the procedure is good for Beta 6
*/
if (bot.processingDailyFiles) { // We are processing Daily Files
let candlesPerDay = ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
let candlesPerDay = global.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
if (tradingEngine.current.candle.index.value === candles.length - 1) {
if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkIfWeAreAtTheHeadOfTheMarket -> Skipping Candle because it is the last one and has not been closed yet.') }
@@ -417,11 +416,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
function checkInitialAndFinalDatetime() {
/* Here we check that the current candle is not outside of user-defined time range at the session parameters.*/
if (tradingEngine.current.candle.end.value < sessionParameters.timeRange.config.initialDatetime.valueOf()) {
if (tradingEngine.current.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.') }
return false
}
if (tradingEngine.current.candle.begin.value > sessionParameters.timeRange.config.finalDatetime.valueOf()) {
if (tradingEngine.current.candle.begin.value > sessionParameters.timeRange.config.finalDatetime) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.') }
return false
}
MultiPeriodDaily.js
-1
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@@ -4,7 +4,6 @@
const LOG_FILE_CONTENT = false;
const MODULE_NAME = "Multi Period Daily";
const GMT_SECONDS = ':00.000 GMT+0000';
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
thisObject = {
initialize: initialize,
server.js
+7 -6
View File
@@ -27,7 +27,8 @@ global.CUSTOM_FAIL_RESPONSE = {
global.ROOT_DIR = './';
const ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000;
global.ONE_DAY_IN_MILISECONDS = 24 * 60 * 60 * 1000
global.ONE_MIN_IN_MILISECONDS = 60 * 1000
global.LOGGER_MAP = new Map()
global.SESSION_MAP = new Map()
@@ -316,9 +317,9 @@ function startRoot(processIndex) {
}
global.getPercentage = function (fromDate, currentDate, lastDate) {
let fromDays = Math.trunc(fromDate.valueOf() / ONE_DAY_IN_MILISECONDS)
let currentDays = Math.trunc(currentDate.valueOf() / ONE_DAY_IN_MILISECONDS)
let lastDays = Math.trunc(lastDate.valueOf() / ONE_DAY_IN_MILISECONDS)
let fromDays = Math.trunc(fromDate.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let currentDays = Math.trunc(currentDate.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let lastDays = Math.trunc(lastDate.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let percentage = (currentDays - fromDays) * 100 / (lastDays - fromDays)
if ((lastDays - fromDays) === 0) {
percentage = 100
@@ -327,8 +328,8 @@ global.getPercentage = function (fromDate, currentDate, lastDate) {
}
global.areEqualDates = function (date1, date2) {
let day1Days = Math.trunc(date1.valueOf() / ONE_DAY_IN_MILISECONDS)
let day2Days = Math.trunc(date2.valueOf() / ONE_DAY_IN_MILISECONDS)
let day1Days = Math.trunc(date1.valueOf() / global.ONE_DAY_IN_MILISECONDS)
let day2Days = Math.trunc(date2.valueOf() / global.ONE_DAY_IN_MILISECONDS)
if (day1Days === day2Days) {
return true