Snapshots on Daily Files
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Luis Fernando Molina committed
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commit
8601c785bf
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@@ -927,7 +927,7 @@
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}
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callBackFunction(global.DEFAULT_OK_RESPONSE);
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writeSnapshotFiles()
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}
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catch (err) {
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@@ -942,6 +942,89 @@
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}
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}
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function writeSnapshotFiles() {
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writeSnapshotFile(triggerOnSnapshot, 'Trigger-On', onFinish)
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function onFinish() {
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writeSnapshotFile(takePositionSnapshot, 'Take-Position', callBackFunction)
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}
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}
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function writeSnapshotFile(snapshotArray, pFileName, callBack) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeSnapshotFile -> Entering function."); }
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let fileRecordCounter = 0;
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let fileContent = "";
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let separator = "\r\n";
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parseRecord(snapshotHeaders)
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for (let i = 0; i < snapshotArray.length; i++) {
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let record = snapshotArray[i];
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parseRecord(record)
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fileRecordCounter++;
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}
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function parseRecord(record) {
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for (let j = 0; j < record.length; j++) {
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let property = record[j]
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fileContent = fileContent + '' + property
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if (j !== record.length - 1) {
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fileContent = fileContent + ","
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}
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}
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fileContent = fileContent + separator
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}
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fileContent = "" + fileContent + "";
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let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
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let fileName = pFileName + '.csv';
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let filePath = bot.filePathRoot + "/Output/" + bot.SESSION.folderName + "/" + SNAPSHOTS_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + timeFrameLabel + "/" + dateForPath;
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filePath += '/' + fileName
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fileStorage.createTextFile(filePath, fileContent + '\n', onFileCreated);
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function onFileCreated(err) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeSnapshotFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeDailyFiles -> writeSnapshotFile -> onFileCreated -> fileContent = " + fileContent); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeSnapshotFile -> onFileCreated -> err = " + err.stack);
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeSnapshotFile -> onFileCreated -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeSnapshotFile -> onFileCreated -> market = " + market.baseAsset + "_" + market.quotedAsset);
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callBackFunction(err);
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return;
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}
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callBack(global.DEFAULT_OK_RESPONSE);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeSnapshotFile -> onFileCreated -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> writeDailyFiles -> writeSnapshotFile -> err = " + err.stack);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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}
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catch (err) {
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@@ -39,12 +39,6 @@
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} else {
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processingDailyFiles = true
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}
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let snapshotHeaders
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let triggerOnSnapshot = [];
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let takePositionSnapshot = [];
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let lastTriggerOnSnapshot
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let lastTakePositionSnapshot
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let recordsArray = [];
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let conditionsArray = [];
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@@ -109,6 +103,15 @@
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interExecutionMemory.
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*/
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/* Snapshots of Trigger On and Take Positions */
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let snapshots = {
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headers: undefined,
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triggerOn: [],
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takePosition: [],
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lastTriggerOn: undefined,
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lastTakePosition: undefined
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}
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/*Needed for statistics */
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let previousBalanceBaseAsset = 0;
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let previousBalanceQuotedAsset = 0;
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@@ -187,6 +190,15 @@
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/* Initialization */
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yesterday.snapshots = {
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headers: undefined,
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triggerOn: [],
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takePosition: [],
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lastTriggerOn: undefined,
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lastTakePosition: undefined
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}
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yesterday.stopLoss = 0
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yesterday.takeProfit = 0
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@@ -257,6 +269,14 @@
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/* Initialize the data structure we will use inter execution. */
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interExecutionMemory.snapshots = {
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headers: undefined,
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triggerOn: [],
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takePosition: [],
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lastTriggerOn: undefined,
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lastTakePosition: undefined
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}
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interExecutionMemory.stopLoss = 0
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interExecutionMemory.takeProfit = 0
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@@ -329,6 +349,14 @@
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/* We get the initial values from the day previous to the candles we receive at the current execution */
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snapshots = {
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headers: interExecutionMemory.snapshots.headers,
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triggerOn: interExecutionMemory.snapshots.triggerOn,
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takePosition: interExecutionMemory.snapshots.takePosition,
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lastTriggerOn: interExecutionMemory.snapshots.lastTriggerOn,
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lastTakePosition: interExecutionMemory.snapshots.lastTakePosition
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}
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stopLoss = interExecutionMemory.stopLoss
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takeProfit = interExecutionMemory.takeProfit
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@@ -404,6 +432,14 @@
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/* For the case that any of these variables are not updated during the main loop, we need to store their value at the yesterday structure, otherwise it would be lost. */
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yesterday.snapshots = {
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headers: snapshots.headers,
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triggerOn: snapshots.triggerOn,
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takePosition: snapshots.takePosition,
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lastTriggerOn: snapshots.lastTriggerOn,
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lastTakePosition: snapshots.lastTakePosition
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}
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yesterday.stopLoss = stopLoss
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yesterday.takeProfit = takeProfit
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@@ -2916,41 +2952,53 @@
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/* Snapshots Management (before we generate the trade record and delete that info) */
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if (saveAsLastTriggerOnSnapshot === true) {
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lastTriggerOnSnapshot = snapshotDataRecord
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snapshots.lastTriggerOn = snapshotDataRecord
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saveAsLastTriggerOnSnapshot = false
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}
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if (saveAsLastTakePositionSnapshot === true) {
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lastTakePositionSnapshot = snapshotDataRecord
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snapshots.lastTakePosition = snapshotDataRecord
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saveAsLastTakePositionSnapshot = false
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}
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if (addToSnapshots === true) {
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let closeValues = [
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roundtrips, // Trade Number
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(new Date(candle.begin)).toISOString(), // Datetime
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tradingSystem.strategies[currentStrategyIndex].name, // Strategy
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currentStrategy.triggerOnSituation, // Trigger On Situation
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currentTrade.takePositionSituation, // Take Position Situation
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hitOrFial(), // Result
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lastTradeROI, // ROI
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simulationRecord.type.replace(/"/g, '') // Exit Type
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roundtrips, // Trade Number
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(new Date(candle.begin)).toISOString(), // Datetime
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tradingSystem.strategies[currentStrategyIndex].name, // Strategy
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currentStrategy.triggerOnSituation, // Trigger On Situation
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currentTrade.takePositionSituation, // Take Position Situation
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hitOrFial(), // Result
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lastTradeROI, // ROI
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simulationRecord.type.replace(/"/g, '') // Exit Type
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]
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function hitOrFial() {
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if (lastTradeROI > 0) { return 'HIT' } else { return 'FAIL' }
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}
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triggerOnSnapshot.push(closeValues.concat(lastTriggerOnSnapshot))
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takePositionSnapshot.push(closeValues.concat(lastTriggerOnSnapshot))
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lastTriggerOnSnapshot = undefined
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lastTakePositionSnapshot = undefined
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if (positionedAtYesterday === false) {
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snapshots.triggerOn.push(closeValues.concat(snapshots.lastTriggerOn))
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snapshots.takePosition.push(closeValues.concat(snapshots.lastTriggerOn))
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}
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snapshots.lastTriggerOn = undefined
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snapshots.lastTakePosition = undefined
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addToSnapshots = false
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}
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let closeHeaders = ['Trade Number', 'Close Datetime', 'Strategy', 'Trigger On Situation', 'Take Position Situation', 'Result', 'ROI', 'Exit Type']
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if (snapshotHeaders === undefined) {
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snapshotHeaders = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
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if (snapshots.headers === undefined) {
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snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
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}
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if (processingDailyFiles) {
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if (positionedAtYesterday) {
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yesterday.snapshots.headers = snapshots.headers;
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yesterday.snapshots.triggerOn = snapshots.triggerOn;
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yesterday.snapshots.takePosition = snapshots.takePosition;
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yesterday.snapshots.lastTriggerOn = snapshots.lastTriggerOn;
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yesterday.snapshots.lastTakePosition = snapshots.lastTakePosition;
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}
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}
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/* Prepare the information for the Trades File */
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@@ -3176,6 +3224,14 @@
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if (lastCandle.end === lastInstantOfTheDay) {
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interExecutionMemory.snapshots = {
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headers: yesterday.snapshots.headers,
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triggerOn: yesterday.snapshots.triggerOn,
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takePosition: yesterday.snapshots.takePosition,
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lastTriggerOn: yesterday.snapshots.lastTriggerOn,
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lastTakePosition: yesterday.snapshots.lastTakePosition
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}
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interExecutionMemory.stopLoss = yesterday.stopLoss
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interExecutionMemory.takeProfit = yesterday.takeProfit
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@@ -3243,7 +3299,7 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> callback -> recordsArray.length = " + recordsArray.length); }
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callback(tradingSystem, recordsArray, conditionsArray, strategiesArray, tradesArray, snapshotHeaders, triggerOnSnapshot, takePositionSnapshot);
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callback(tradingSystem, recordsArray, conditionsArray, strategiesArray, tradesArray, snapshots.headers, snapshots.triggerOn, snapshots.takePosition);
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}
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function getElement(pArray, currentCandle, datasetName) {
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