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many improvements

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This commit is contained in:
Luis Fernando Molina committed 2020-07-16 21:36:42 +02:00
1 parent 9cad9b598a
commit 8aa781a027
2 files changed
+83 -47
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LowFrequencyTrading/TradingPosition.js
+3 -3
View File
@@ -5,7 +5,7 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
const MODULE_NAME = 'Trading Position'
let thisObject = {
openPosition: openPosition,
closePosition: closePosition,
closingPosition: closingPosition,
applyStopLossFormula: applyStopLossFormula,
applyTakeProfitFormula: applyTakeProfitFormula,
preventStopLossDistortion: preventStopLossDistortion,
@@ -53,8 +53,8 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
tradingEngine.current.position.takeProfit.takeProfitPhase.value = 0
}
function closePosition(exitType) {
tradingEngine.current.position.status.value = 'Closed'
function closingPosition(exitType) {
tradingEngine.current.position.status.value = 'Closing'
tradingEngine.current.position.end.value = tradingEngine.current.candle.end.value
tradingEngine.current.position.exitType.value = exitType
/*
LowFrequencyTrading/TradingSystem.js
+80 -44
View File
@@ -318,7 +318,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
tradingSystem.highlights.push(triggerStage.id)
tradingStrategyModule.openStrategy(j, situation.name, strategy.name)
tradingStrategyModule.updateStageStatus('Trigger Stage', 'Open')
tradingEngine.current.distanceToEvent.triggerOn.value = 1
@@ -334,14 +333,13 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
}
logger.write(MODULE_NAME, '[INFO] checkTriggerOn -> Entering into Strategy: ' + strategy.name)
return
tradingStrategyModule.updateStageStatus('Trigger Stage', 'Open')
}
}
}
}
}
}
return
}
function checkTriggerOff() {
@@ -370,20 +368,18 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
tradingSystem.highlights.push(triggerStage.id)
tradingStrategyModule.closeStrategy('Trigger Off')
tradingStrategyModule.updateStageStatus('Trigger Stage', 'Close')
tradingEngine.current.distanceToEvent.triggerOff.value = 1
announcementsModule.makeAnnoucements(triggerStage.triggerOff)
logger.write(MODULE_NAME, '[INFO] checkTriggerOff -> Closing Strategy: ' + strategy.name)
return
tradingStrategyModule.updateStageStatus('Trigger Stage', 'Close')
}
}
}
}
}
return
}
function checkTakePosition() {
@@ -414,8 +410,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
tradingSystem.highlights.push(triggerStage.takePosition.id)
tradingSystem.highlights.push(triggerStage.id)
tradingStrategyModule.updateStageStatus('Open Stage', 'Open')
tradingStrategyModule.updateStageStatus('Trigger Stage', 'Close')
tradingPositionModule.openPosition(situation.name)
announcementsModule.makeAnnoucements(triggerStage.takePosition)
@@ -430,18 +424,18 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
}
logger.write(MODULE_NAME, '[INFO] checkTakePosition -> Conditions at the Take Position Event were met.')
tradingStrategyModule.updateStageStatus('Open Stage', 'Opening')
tradingStrategyModule.updateStageStatus('Trigger Stage', 'Close')
tradingStrategyModule.updateStageStatus('Manage Stage', 'Opening')
}
}
}
}
}
return
}
}
function openStage() {
/*
if the Close stage is opened while the open stage is still open that means that
we need to stop placing orders, check what happened to the orders already placed,
@@ -451,6 +445,31 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
tradingStrategyModule.updateStageStatus('Open Stage', 'Closing')
}
if (tradingEngine.current.strategy.openStageStatus.value === 'Opening') {
let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
let executionNode = stageNode.openExecution
evalConditions(stageNode, 'Initial Definition')
evalFormulas(stageNode, 'Initial Definition')
getReadyToTakePosition()
calculateTakeProfit()
calculateStopLoss()
takePosition()
/* Check Execution in opening stage mode */
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, true, false, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
tradingStrategyModule.updateStageStatus('Open Stage', 'Open')
return
}
/*
While the Open Stage is Open, we do our regular stuff: place orders and check
what happened to the orders already placed.
@@ -460,25 +479,11 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].openStage
let executionNode = stageNode.openExecution
evalConditions(stageNode, 'Initial Definition')
evalFormulas(stageNode, 'Initial Definition')
/* Taking a Position */
if (tradingEngine.current.strategy.manageStageStatus.value === 'Opening') {
getReadyToTakePosition()
calculateTakeProfit()
calculateStopLoss()
tradingExecutionModule.takePosition()
takePosition()
}
/* Every Loop Cycle Activity */
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
checkExecution(executionNode, false, false, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
/*
The Open is finished when the fillSize reaches the Position Size.
@@ -506,7 +511,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Open Execution')
evalFormulas(stageNode, 'Open Execution')
checkExecution(executionNode, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
checkExecution(executionNode, true, tradingEngine.current.position.size.value, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
}
/*
@@ -844,8 +849,9 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
tradingPositionModule.preventStopLossDistortion()
tradingPositionModule.applySlippageToStopLoss()
tradingPositionModule.closePosition('Stop Loss')
tradingPositionModule.closingPosition('Stop Loss')
tradingStrategyModule.updateStageStatus('Close Stage', 'Opening')
tradingStrategyModule.updateStageStatus('Manage Stage', 'Close')
announcementsModule.makeAnnoucements(strategy.closeStage)
return
}
@@ -859,8 +865,9 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
tradingPositionModule.preventTakeProfitDistortion()
tradingPositionModule.applySlippageToTakeProfit()
tradingPositionModule.closePosition('Take Profit')
tradingPositionModule.closingPosition('Take Profit')
tradingStrategyModule.updateStageStatus('Close Stage', 'Opening')
tradingStrategyModule.updateStageStatus('Manage Stage', 'Close')
announcementsModule.makeAnnoucements(strategy.closeStage)
return
}
@@ -876,9 +883,17 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
*/
if (tradingEngine.current.strategy.closeStageStatus.value === 'Opening') {
getReadyToClosePosition()
tradingExecutionModule.closePosition()
closePosition()
let stageNode = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value].closeStage
let executionNode = stageNode.closeExecution
evalConditions(stageNode, 'Close Execution')
evalFormulas(stageNode, 'Close Execution')
checkExecution(executionNode, true, false, tradingEngine.current.position.openStageFilledSize.value, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
tradingStrategyModule.updateStageStatus('Close Stage', 'Open')
return
}
/*
@@ -891,14 +906,26 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
evalConditions(stageNode, 'Close Execution')
evalFormulas(stageNode, 'Close Execution')
checkExecution(executionNode, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize.value, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
/*
The Close Stage is closed when the fillSize reaches the filledSize of the Open Stage.
*/
if (tradingEngine.current.position.closeStageFilledSize.value === tradingEngine.current.position.closeStageFilledSize.value) {
tradingStrategyModule.updateStageStatus('Close Stage', 'Closed')
}
}
if (tradingEngine.current.strategy.closeStageStatus.value === 'Closing') {
if (
tradingEngine.current.strategy.triggerStageStatus.value === 'Closed' &&
tradingEngine.current.strategy.openStageStatus.value === 'Closed' &&
tradingEngine.current.strategy.manageStageStatus.value === 'Closed' &&
tradingEngine.current.strategy.closeStageStatus.value === 'Closed'
) {
/* After a position was closed, we need to close the strategy. */
exitStrategyAfterPosition()
tradingStrategyModule.updateStageStatus('Close Stage', 'Closed')
closePosition()
exitStrategyAndPosition()
}
function getReadyToClosePosition() {
@@ -940,9 +967,11 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.episodeCounters.positions.value
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days.value * 365
}
tradingEngine.current.position.status.value = 'Closed'
}
function exitStrategyAfterPosition() {
function exitStrategyAndPosition() {
tradingStrategyModule.closeStrategy('Position Closed')
tradingEngine.current.distanceToEvent.triggerOff.value = 1
@@ -1029,7 +1058,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
}
}
function checkExecution(executionNode, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
function checkExecution(executionNode, stageIsOpening, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
checkExecutionAlgorithms(executionNode)
@@ -1049,6 +1078,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
/* Basic Validations */
if (tradingSystemOrder.config.positionSizePercentage === undefined) { continue }
if (tradingSystemOrder.referenceParent === undefined) { continue }
let tradingEngineOrder = tradingEngineModule.getNodeById(tradingSystemOrder.referenceParent.id)
@@ -1089,7 +1119,9 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
}
}
simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
if (stageIsOpening === false) {
simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
}
}
break
case 'Closed': {
@@ -1097,11 +1129,21 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
}
break
default: {
if (stageIsClosing === true) { return }
if (stageIsClosing === true) { continue }
tradingEngineOrder.status.value = 'Not Open'
let situationName = checkOrderEvent(tradingSystemOrder.createOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
if (situationName !== undefined) {
/* Order Size Calculation */
tradingEngineOrder.size.value = formulas.get(executionAlgorithm.positionSize.formula.id) * tradingSystemOrder.config.positionSizePercentage / 100
if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit) {
/* We reduce the size to the remaining size of the position. */
tradingEngineOrder.size.value = stageSizeLimit - stageOrdersSize.value
}
if (tradingEngineOrder.size.value <= 0) { continue }
// Create Order
tradingEngineOrder.identifier.value = global.UNIQUE_ID()
tradingEngineOrder.begin.value = tradingEngine.current.candle.begin.value
@@ -1112,12 +1154,6 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
tradingEngineOrder.algorithmName.value = executionAlgorithm.name
tradingEngineOrder.situationName.value = situationName
/* The size depends on the Formula but also on how much of the total size has already been used. */
tradingEngineOrder.size.value = formulas.get(executionAlgorithm.positionSize.formula.id) * tradingSystemOrder.config.positionSizePercentage / 100
if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit) {
/* We reduce the size to the remaining size of the position. */
tradingEngineOrder.size.value = stageSizeLimit - stageOrdersSize.value
}
stageOrdersSize.value = stageOrdersSize.value + tradingEngineOrder.size.value
}
}