Snapshots on Daily Files
This commit is contained in:
Luis Fernando Molina committed
1 parent
07e4c0264d
commit
8601c785bf
2 files changed
+163
-24
No files matched your search
@@ -39,12 +39,6 @@
|
||||
} else {
|
||||
processingDailyFiles = true
|
||||
}
|
||||
|
||||
let snapshotHeaders
|
||||
let triggerOnSnapshot = [];
|
||||
let takePositionSnapshot = [];
|
||||
let lastTriggerOnSnapshot
|
||||
let lastTakePositionSnapshot
|
||||
|
||||
let recordsArray = [];
|
||||
let conditionsArray = [];
|
||||
@@ -109,6 +103,15 @@
|
||||
interExecutionMemory.
|
||||
*/
|
||||
|
||||
/* Snapshots of Trigger On and Take Positions */
|
||||
let snapshots = {
|
||||
headers: undefined,
|
||||
triggerOn: [],
|
||||
takePosition: [],
|
||||
lastTriggerOn: undefined,
|
||||
lastTakePosition: undefined
|
||||
}
|
||||
|
||||
/*Needed for statistics */
|
||||
let previousBalanceBaseAsset = 0;
|
||||
let previousBalanceQuotedAsset = 0;
|
||||
@@ -187,6 +190,15 @@
|
||||
|
||||
/* Initialization */
|
||||
|
||||
|
||||
yesterday.snapshots = {
|
||||
headers: undefined,
|
||||
triggerOn: [],
|
||||
takePosition: [],
|
||||
lastTriggerOn: undefined,
|
||||
lastTakePosition: undefined
|
||||
}
|
||||
|
||||
yesterday.stopLoss = 0
|
||||
yesterday.takeProfit = 0
|
||||
|
||||
@@ -257,6 +269,14 @@
|
||||
|
||||
/* Initialize the data structure we will use inter execution. */
|
||||
|
||||
interExecutionMemory.snapshots = {
|
||||
headers: undefined,
|
||||
triggerOn: [],
|
||||
takePosition: [],
|
||||
lastTriggerOn: undefined,
|
||||
lastTakePosition: undefined
|
||||
}
|
||||
|
||||
interExecutionMemory.stopLoss = 0
|
||||
interExecutionMemory.takeProfit = 0
|
||||
|
||||
@@ -329,6 +349,14 @@
|
||||
|
||||
/* We get the initial values from the day previous to the candles we receive at the current execution */
|
||||
|
||||
snapshots = {
|
||||
headers: interExecutionMemory.snapshots.headers,
|
||||
triggerOn: interExecutionMemory.snapshots.triggerOn,
|
||||
takePosition: interExecutionMemory.snapshots.takePosition,
|
||||
lastTriggerOn: interExecutionMemory.snapshots.lastTriggerOn,
|
||||
lastTakePosition: interExecutionMemory.snapshots.lastTakePosition
|
||||
}
|
||||
|
||||
stopLoss = interExecutionMemory.stopLoss
|
||||
takeProfit = interExecutionMemory.takeProfit
|
||||
|
||||
@@ -404,6 +432,14 @@
|
||||
|
||||
/* 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. */
|
||||
|
||||
yesterday.snapshots = {
|
||||
headers: snapshots.headers,
|
||||
triggerOn: snapshots.triggerOn,
|
||||
takePosition: snapshots.takePosition,
|
||||
lastTriggerOn: snapshots.lastTriggerOn,
|
||||
lastTakePosition: snapshots.lastTakePosition
|
||||
}
|
||||
|
||||
yesterday.stopLoss = stopLoss
|
||||
yesterday.takeProfit = takeProfit
|
||||
|
||||
@@ -2916,41 +2952,53 @@
|
||||
|
||||
/* Snapshots Management (before we generate the trade record and delete that info) */
|
||||
if (saveAsLastTriggerOnSnapshot === true) {
|
||||
lastTriggerOnSnapshot = snapshotDataRecord
|
||||
snapshots.lastTriggerOn = snapshotDataRecord
|
||||
saveAsLastTriggerOnSnapshot = false
|
||||
}
|
||||
|
||||
if (saveAsLastTakePositionSnapshot === true) {
|
||||
lastTakePositionSnapshot = snapshotDataRecord
|
||||
snapshots.lastTakePosition = snapshotDataRecord
|
||||
saveAsLastTakePositionSnapshot = false
|
||||
}
|
||||
|
||||
if (addToSnapshots === true) {
|
||||
let closeValues = [
|
||||
roundtrips, // Trade Number
|
||||
(new Date(candle.begin)).toISOString(), // Datetime
|
||||
tradingSystem.strategies[currentStrategyIndex].name, // Strategy
|
||||
currentStrategy.triggerOnSituation, // Trigger On Situation
|
||||
currentTrade.takePositionSituation, // Take Position Situation
|
||||
hitOrFial(), // Result
|
||||
lastTradeROI, // ROI
|
||||
simulationRecord.type.replace(/"/g, '') // Exit Type
|
||||
roundtrips, // Trade Number
|
||||
(new Date(candle.begin)).toISOString(), // Datetime
|
||||
tradingSystem.strategies[currentStrategyIndex].name, // Strategy
|
||||
currentStrategy.triggerOnSituation, // Trigger On Situation
|
||||
currentTrade.takePositionSituation, // Take Position Situation
|
||||
hitOrFial(), // Result
|
||||
lastTradeROI, // ROI
|
||||
simulationRecord.type.replace(/"/g, '') // Exit Type
|
||||
]
|
||||
|
||||
function hitOrFial() {
|
||||
if (lastTradeROI > 0) { return 'HIT' } else { return 'FAIL' }
|
||||
}
|
||||
|
||||
triggerOnSnapshot.push(closeValues.concat(lastTriggerOnSnapshot))
|
||||
takePositionSnapshot.push(closeValues.concat(lastTriggerOnSnapshot))
|
||||
lastTriggerOnSnapshot = undefined
|
||||
lastTakePositionSnapshot = undefined
|
||||
if (positionedAtYesterday === false) {
|
||||
snapshots.triggerOn.push(closeValues.concat(snapshots.lastTriggerOn))
|
||||
snapshots.takePosition.push(closeValues.concat(snapshots.lastTriggerOn))
|
||||
}
|
||||
snapshots.lastTriggerOn = undefined
|
||||
snapshots.lastTakePosition = undefined
|
||||
addToSnapshots = false
|
||||
}
|
||||
|
||||
let closeHeaders = ['Trade Number', 'Close Datetime', 'Strategy', 'Trigger On Situation', 'Take Position Situation', 'Result', 'ROI', 'Exit Type']
|
||||
if (snapshotHeaders === undefined) {
|
||||
snapshotHeaders = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
|
||||
if (snapshots.headers === undefined) {
|
||||
snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
|
||||
}
|
||||
|
||||
if (processingDailyFiles) {
|
||||
if (positionedAtYesterday) {
|
||||
yesterday.snapshots.headers = snapshots.headers;
|
||||
yesterday.snapshots.triggerOn = snapshots.triggerOn;
|
||||
yesterday.snapshots.takePosition = snapshots.takePosition;
|
||||
yesterday.snapshots.lastTriggerOn = snapshots.lastTriggerOn;
|
||||
yesterday.snapshots.lastTakePosition = snapshots.lastTakePosition;
|
||||
}
|
||||
}
|
||||
|
||||
/* Prepare the information for the Trades File */
|
||||
@@ -3176,6 +3224,14 @@
|
||||
|
||||
if (lastCandle.end === lastInstantOfTheDay) {
|
||||
|
||||
interExecutionMemory.snapshots = {
|
||||
headers: yesterday.snapshots.headers,
|
||||
triggerOn: yesterday.snapshots.triggerOn,
|
||||
takePosition: yesterday.snapshots.takePosition,
|
||||
lastTriggerOn: yesterday.snapshots.lastTriggerOn,
|
||||
lastTakePosition: yesterday.snapshots.lastTakePosition
|
||||
}
|
||||
|
||||
interExecutionMemory.stopLoss = yesterday.stopLoss
|
||||
interExecutionMemory.takeProfit = yesterday.takeProfit
|
||||
|
||||
@@ -3243,7 +3299,7 @@
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> callback -> recordsArray.length = " + recordsArray.length); }
|
||||
|
||||
callback(tradingSystem, recordsArray, conditionsArray, strategiesArray, tradesArray, snapshotHeaders, triggerOnSnapshot, takePositionSnapshot);
|
||||
callback(tradingSystem, recordsArray, conditionsArray, strategiesArray, tradesArray, snapshots.headers, snapshots.triggerOn, snapshots.takePosition);
|
||||
}
|
||||
|
||||
function getElement(pArray, currentCandle, datasetName) {
|
||||
|
||||
Reference in new issue
Block a user