Better Handling of timeRange
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Luis Fernando Molina committed
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commit
8c44f53f80
2 files changed
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@@ -119,7 +119,7 @@
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let statusReport;
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/* We are going to use the start date as beging of market date. */
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contextVariables.dateBeginOfMarket = new Date(processConfig.framework.startDate.fixedDate)
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contextVariables.dateBeginOfMarket = bot.VALUES_TO_USE.timeRange.initialDatetime
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/*
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Here we get the status report from the bot who knows which is the end of the market.
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@@ -459,8 +459,7 @@
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/* Validation that we are not going past the user defined end date. */
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const userDefinedEndDatetime = new Date(processConfig.framework.endDate.fixedDate);
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if (bot.multiPeriodDailyProcessDatetime.valueOf() >= userDefinedEndDatetime.valueOf()) {
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if (bot.multiPeriodDailyProcessDatetime.valueOf() >= bot.VALUES_TO_USE.timeRange.finalDatetime.valueOf()) {
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const logText = "User Defined End Datetime reached @ " + previousDay.getUTCFullYear() + "/" + (previousDay.getUTCMonth() + 1) + "/" + previousDay.getUTCDate() + ".";
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> advanceTime -> " + logText); }
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@@ -834,8 +833,6 @@
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currentTimePeriod,
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currentOutputPeriodLabel,
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bot.multiPeriodDailyProcessDatetime,
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processConfig.framework.startDate.fixedDate,
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processConfig.framework.endDate.fixedDate,
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interExecutionMemoryArray[n],
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onBotFinished);
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@@ -900,9 +897,8 @@
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/* This is where we check if we need reached the user defined end datetime. */
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const userDefinedEndDatetime = new Date(processConfig.framework.endDate.fixedDate);
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const now = new Date()
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if (now.valueOf() >= userDefinedEndDatetime.valueOf()) {
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if (now.valueOf() >= bot.VALUES_TO_USE.timeRange.finalDatetime.valueOf()) {
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const logText = "User Defined End Datetime reached @ " + now.getUTCFullYear() + "/" + (now.getUTCMonth() + 1) + "/" + now.getUTCDate() + ".";
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriodsDailyFiles -> callTheBot -> onBotFinished -> onMarketStatusReport -> " + logText); }
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@@ -108,7 +108,14 @@
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global.SYSTEM_EVENT_HANDLER.listenToEvent(bot.sessionKey, 'Stop Session', undefined, undefined, undefined, stopSession)
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function runSession(message) {
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switch (bot.processNode.session.type) {
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/* We are going to run the Definition comming at the event. */
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global.DEFINITION = JSON.parse(message.event.definition)
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bot.SESSION = JSON.parse(message.event.session)
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setValuesToUse(message)
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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startBackTesting(message)
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break
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@@ -127,60 +134,14 @@
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}
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function startBackTesting(message) {
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/* We are going to run the Definition comming at the event. */
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global.DEFINITION = JSON.parse(message.event.definition)
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bot.startMode = "Backtest"
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processConfig.framework.startDate.resumeExecution = false;
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bot.hasTheBotJustStarted = true
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setValuesToUse(message)
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const ONE_YEAR_IN_MILISECONDS = 365 * 24 * 60 * 60 * 1000
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/* If we can not get for any reason the initial date of the backtest, we will start at present time. */
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processConfig.framework.startDate.fixedDate = new Date()
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/* If we can not get for any reason the final date of the backtest, we will stop one year after the start date. */
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processConfig.framework.endDate.fixedDate = new Date(processConfig.framework.startDate.fixedDate.valueOf() + ONE_YEAR_IN_MILISECONDS)
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/* Convert this dates to string */
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processConfig.framework.startDate.fixedDate = processConfig.framework.startDate.fixedDate.toISOString()
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processConfig.framework.endDate.fixedDate = processConfig.framework.endDate.fixedDate.toISOString()
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/* If we received simulation params we use them instead. */
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if (global.DEFINITION.uiCurrentValues) {
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if (global.DEFINITION.uiCurrentValues.beginDatetime) {
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processConfig.framework.startDate.fixedDate = global.DEFINITION.uiCurrentValues.beginDatetime
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}
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}
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/* We finally will try to exctact the initial and final date for the backtest from the Definition */
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if (global.DEFINITION.tradingSystem !== undefined) {
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if (global.DEFINITION.tradingSystem.parameters !== undefined) {
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if (global.DEFINITION.tradingSystem.parameters.timeRange !== undefined) {
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if (global.DEFINITION.tradingSystem.parameters.timeRange.code !== undefined) {
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try {
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let code = JSON.parse(global.DEFINITION.tradingSystem.parameters.timeRange.code)
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if (code.initialDatetime !== undefined) {
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processConfig.framework.startDate.fixedDate = code.initialDatetime /* The second override occurs here, with the date explicitelly defined by the user */
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}
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if (code.finalDatetime !== undefined) {
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processConfig.framework.endDate.fixedDate = code.finalDatetime
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}
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} catch (err) {
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global.DEFINITION.tradingSystem.parameters.timeRange.error = err.message
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}
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}
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}
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}
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}
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bot.multiPeriodDailyProcessDatetime = processConfig.framework.startDate.fixedDate
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bot.hasTheBotJustStarted = true
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bot.multiPeriodDailyProcessDatetime = bot.VALUES_TO_USE.timeRange.initialDatetime
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}
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function startLiveTrading(message) {
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/* We are going to run the Definition comming at the event. */
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global.DEFINITION = JSON.parse(message.event.definition)
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if (global.DEFINITION.personalData) {
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if (global.DEFINITION.personalData.exchangeAccounts) {
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if (global.DEFINITION.personalData.exchangeAccounts.length > 0) {
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@@ -204,11 +165,13 @@
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}
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bot.startMode = "Live"
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processConfig.framework.startDate.fixedDate = new Date()
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if (bot.VALUES_TO_USE.timeRange.initialDatetime.valueOf() < (new Date()).valueOf) {
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bot.VALUES_TO_USE.timeRange.initialDatetime = new Date()
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}
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processConfig.framework.startDate.resumeExecution = false;
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bot.multiPeriodDailyProcessDatetime = processConfig.framework.startDate.fixedDate
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bot.multiPeriodDailyProcessDatetime = bot.VALUES_TO_USE.timeRange.initialDatetime
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bot.hasTheBotJustStarted = true
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setValuesToUse(message)
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}
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function setValuesToUse(message) {
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@@ -216,9 +179,7 @@
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Base on the information received we will determined which values ultimatelly are going to be used,
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and once we do, they will become constants across the multiple loops executions.
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*/
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bot.SESSION = JSON.parse(message.event.session)
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/* Set all default values */
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bot.VALUES_TO_USE = {
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baseAsset: "BTC",
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@@ -237,6 +198,25 @@
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feeStructure: {
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maker: 0,
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taker: 0
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},
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timeRange: {
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initialDatetime: new Date(),
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finalDatetime: new Date()
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}
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}
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/* Session Type Dependant Default Values */
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const ONE_YEAR_IN_MILISECONDS = 365 * 24 * 60 * 60 * 1000
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switch (bot.SESSION.type) {
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case 'Backtesting Session': {
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bot.VALUES_TO_USE.timeRange.initialDatetime = new Date(global.DEFINITION.uiCurrentValues.initialDatetime)
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bot.VALUES_TO_USE.timeRange.finalDatetime = new Date()
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break
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}
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case 'Live Trading Session': {
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bot.VALUES_TO_USE.timeRange.initialDatetime = new Date()
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bot.VALUES_TO_USE.timeRange.finalDatetime = new Date((new Date()).valueOf() + ONE_YEAR_IN_MILISECONDS)
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break
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}
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}
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@@ -335,7 +315,24 @@
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tradingSystem.parameters.feeStructure.error = err.message
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}
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}
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}
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}
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/* Time Range */
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if (tradingSystem.parameters.timeRange !== undefined) {
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if (tradingSystem.parameters.timeRange.code !== undefined) {
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try {
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let code = JSON.parse(tradingSystem.parameters.timeRange.code)
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if (code.initialDatetime !== undefined) {
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bot.VALUES_TO_USE.timeRange.initialDatetime = new Date(code.initialDatetime)
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}
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if (code.finalDatetime !== undefined) {
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bot.VALUES_TO_USE.timeRange.finalDatetime = new Date(code.finalDatetime)
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}
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} catch (err) {
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tradingSystem.parameters.timeRange.error = err.message
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}
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}
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}
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}
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/* Applying Session Level Parameters */
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@@ -387,6 +384,23 @@
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}
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}
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}
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/* Time Range */
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if (bot.SESSION.parameters.timeRange !== undefined) {
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if (bot.SESSION.parameters.timeRange.code !== undefined) {
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try {
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let code = JSON.parse(bot.SESSION.parameters.timeRange.code)
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if (code.initialDatetime !== undefined) {
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bot.VALUES_TO_USE.timeRange.initialDatetime = new Date(code.initialDatetime)
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}
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if (code.finalDatetime !== undefined) {
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bot.VALUES_TO_USE.timeRange.finalDatetime = new Date(code.finalDatetime)
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}
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} catch (err) {
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parentLogger.write(MODULE_NAME, "[WARN] run -> startLiveTrading -> Invalid Time Range Value -> err = " + err.stack);
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}
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}
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}
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}
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}
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}
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