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Better Handling of timeRange

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Luis Fernando Molina committed 2019-10-04 10:48:55 +02:00
1 parent 71739c0c27
commit 8c44f53f80
2 files changed
+73 -63
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TradingEngineProcessMainLoop.js
+70 -56
View File
@@ -108,7 +108,14 @@
global.SYSTEM_EVENT_HANDLER.listenToEvent(bot.sessionKey, 'Stop Session', undefined, undefined, undefined, stopSession)
function runSession(message) {
switch (bot.processNode.session.type) {
/* We are going to run the Definition comming at the event. */
global.DEFINITION = JSON.parse(message.event.definition)
bot.SESSION = JSON.parse(message.event.session)
setValuesToUse(message)
switch (bot.SESSION.type) {
case 'Backtesting Session': {
startBackTesting(message)
break
@@ -127,60 +134,14 @@
}
function startBackTesting(message) {
/* We are going to run the Definition comming at the event. */
global.DEFINITION = JSON.parse(message.event.definition)
bot.startMode = "Backtest"
processConfig.framework.startDate.resumeExecution = false;
bot.hasTheBotJustStarted = true
setValuesToUse(message)
const ONE_YEAR_IN_MILISECONDS = 365 * 24 * 60 * 60 * 1000
/* If we can not get for any reason the initial date of the backtest, we will start at present time. */
processConfig.framework.startDate.fixedDate = new Date()
/* If we can not get for any reason the final date of the backtest, we will stop one year after the start date. */
processConfig.framework.endDate.fixedDate = new Date(processConfig.framework.startDate.fixedDate.valueOf() + ONE_YEAR_IN_MILISECONDS)
/* Convert this dates to string */
processConfig.framework.startDate.fixedDate = processConfig.framework.startDate.fixedDate.toISOString()
processConfig.framework.endDate.fixedDate = processConfig.framework.endDate.fixedDate.toISOString()
/* If we received simulation params we use them instead. */
if (global.DEFINITION.uiCurrentValues) {
if (global.DEFINITION.uiCurrentValues.beginDatetime) {
processConfig.framework.startDate.fixedDate = global.DEFINITION.uiCurrentValues.beginDatetime
}
}
/* We finally will try to exctact the initial and final date for the backtest from the Definition */
if (global.DEFINITION.tradingSystem !== undefined) {
if (global.DEFINITION.tradingSystem.parameters !== undefined) {
if (global.DEFINITION.tradingSystem.parameters.timeRange !== undefined) {
if (global.DEFINITION.tradingSystem.parameters.timeRange.code !== undefined) {
try {
let code = JSON.parse(global.DEFINITION.tradingSystem.parameters.timeRange.code)
if (code.initialDatetime !== undefined) {
processConfig.framework.startDate.fixedDate = code.initialDatetime /* The second override occurs here, with the date explicitelly defined by the user */
}
if (code.finalDatetime !== undefined) {
processConfig.framework.endDate.fixedDate = code.finalDatetime
}
} catch (err) {
global.DEFINITION.tradingSystem.parameters.timeRange.error = err.message
}
}
}
}
}
bot.multiPeriodDailyProcessDatetime = processConfig.framework.startDate.fixedDate
bot.hasTheBotJustStarted = true
bot.multiPeriodDailyProcessDatetime = bot.VALUES_TO_USE.timeRange.initialDatetime
}
function startLiveTrading(message) {
/* We are going to run the Definition comming at the event. */
global.DEFINITION = JSON.parse(message.event.definition)
if (global.DEFINITION.personalData) {
if (global.DEFINITION.personalData.exchangeAccounts) {
if (global.DEFINITION.personalData.exchangeAccounts.length > 0) {
@@ -204,11 +165,13 @@
}
bot.startMode = "Live"
processConfig.framework.startDate.fixedDate = new Date()
if (bot.VALUES_TO_USE.timeRange.initialDatetime.valueOf() < (new Date()).valueOf) {
bot.VALUES_TO_USE.timeRange.initialDatetime = new Date()
}
processConfig.framework.startDate.resumeExecution = false;
bot.multiPeriodDailyProcessDatetime = processConfig.framework.startDate.fixedDate
bot.multiPeriodDailyProcessDatetime = bot.VALUES_TO_USE.timeRange.initialDatetime
bot.hasTheBotJustStarted = true
setValuesToUse(message)
}
function setValuesToUse(message) {
@@ -216,9 +179,7 @@
Base on the information received we will determined which values ultimatelly are going to be used,
and once we do, they will become constants across the multiple loops executions.
*/
bot.SESSION = JSON.parse(message.event.session)
/* Set all default values */
bot.VALUES_TO_USE = {
baseAsset: "BTC",
@@ -237,6 +198,25 @@
feeStructure: {
maker: 0,
taker: 0
},
timeRange: {
initialDatetime: new Date(),
finalDatetime: new Date()
}
}
/* Session Type Dependant Default Values */
const ONE_YEAR_IN_MILISECONDS = 365 * 24 * 60 * 60 * 1000
switch (bot.SESSION.type) {
case 'Backtesting Session': {
bot.VALUES_TO_USE.timeRange.initialDatetime = new Date(global.DEFINITION.uiCurrentValues.initialDatetime)
bot.VALUES_TO_USE.timeRange.finalDatetime = new Date()
break
}
case 'Live Trading Session': {
bot.VALUES_TO_USE.timeRange.initialDatetime = new Date()
bot.VALUES_TO_USE.timeRange.finalDatetime = new Date((new Date()).valueOf() + ONE_YEAR_IN_MILISECONDS)
break
}
}
@@ -335,7 +315,24 @@
tradingSystem.parameters.feeStructure.error = err.message
}
}
}
}
/* Time Range */
if (tradingSystem.parameters.timeRange !== undefined) {
if (tradingSystem.parameters.timeRange.code !== undefined) {
try {
let code = JSON.parse(tradingSystem.parameters.timeRange.code)
if (code.initialDatetime !== undefined) {
bot.VALUES_TO_USE.timeRange.initialDatetime = new Date(code.initialDatetime)
}
if (code.finalDatetime !== undefined) {
bot.VALUES_TO_USE.timeRange.finalDatetime = new Date(code.finalDatetime)
}
} catch (err) {
tradingSystem.parameters.timeRange.error = err.message
}
}
}
}
/* Applying Session Level Parameters */
@@ -387,6 +384,23 @@
}
}
}
/* Time Range */
if (bot.SESSION.parameters.timeRange !== undefined) {
if (bot.SESSION.parameters.timeRange.code !== undefined) {
try {
let code = JSON.parse(bot.SESSION.parameters.timeRange.code)
if (code.initialDatetime !== undefined) {
bot.VALUES_TO_USE.timeRange.initialDatetime = new Date(code.initialDatetime)
}
if (code.finalDatetime !== undefined) {
bot.VALUES_TO_USE.timeRange.finalDatetime = new Date(code.finalDatetime)
}
} catch (err) {
parentLogger.write(MODULE_NAME, "[WARN] run -> startLiveTrading -> Invalid Time Range Value -> err = " + err.stack);
}
}
}
}
}
}