Market Files Running with version 2
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Luis Fernando Molina committed
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+150
-23
@@ -15,6 +15,7 @@
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const CANDLES_FOLDER_NAME = "Candles";
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const BOLLINGER_BANDS_FOLDER_NAME = "Bollinger-Bands";
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const PERCENTAGE_BANDWIDTH_FOLDER_NAME = "Percentage-Bandwidth";
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const commons = COMMONS.newCommons(bot, logger, UTILITIES);
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@@ -477,44 +478,101 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> calculateBands -> Entering function."); }
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let bandsArray = [];
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let numberOfPeriods = 20;
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let pBArray = [];
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let numberOfPeriodsBB = 20;
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let numberOfStandardDeviations = 2;
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/* Building bands */
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let band;
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let previousBand;
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for (let i = numberOfPeriods - 1; i < candles.length; i++) { // Go through all the candles to generate a band segment for each of them.
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for (let i = numberOfPeriodsBB - 1; i < candles.length; i++) { // Go through all the candles to generate a band segment for each of them.
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/* Calculating the bollinger bands. */
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let movingAverage = 0;
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for (let j = i - numberOfPeriods + 1; j < i + 1; j++) { // go through the last n candles to calculate the moving average.
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for (let j = i - numberOfPeriodsBB + 1; j < i + 1; j++) { // go through the last n candles to calculate the moving average.
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movingAverage = movingAverage + candles[j].close;
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}
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movingAverage = movingAverage / numberOfPeriods;
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movingAverage = movingAverage / numberOfPeriodsBB;
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let standardDeviation = 0;
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for (let j = i - numberOfPeriods + 1; j < i + 1; j++) { // go through the last n candles to calculate the standard deviation.
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for (let j = i - numberOfPeriodsBB + 1; j < i + 1; j++) { // go through the last n candles to calculate the standard deviation.
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standardDeviation = standardDeviation + Math.pow(candles[j].close - movingAverage, 2);
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}
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standardDeviation = standardDeviation / numberOfPeriods;
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standardDeviation = standardDeviation / numberOfPeriodsBB;
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standardDeviation = Math.sqrt(standardDeviation);
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band = {
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begin: candles[i].begin,
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end: candles[i].end,
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close: candles[i].close,
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movingAverage: movingAverage,
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standardDeviation: standardDeviation
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standardDeviation: standardDeviation,
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deviation: standardDeviation * numberOfStandardDeviations
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};
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/* Will only add to the array the bands of the current day */
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if (band.begin >= processDate.valueOf()) { bandsArray.push(band); }
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/* Calculating %B */
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let lowerBB;
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let upperBB;
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lowerBB = band.movingAverage - band.deviation;
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upperBB = band.movingAverage + band.deviation;
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let currentPercentBandwidth = (candles[i].close - lowerBB) / (upperBB - lowerBB) * 100;
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let previousPercentBandwidth;
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if (previousBand !== undefined) {
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lowerBB = previousBand.movingAverage - previousBand.deviation;
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upperBB = previousBand.movingAverage + previousBand.deviation;
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previousPercentBandwidth = (candles[i - 1].close - lowerBB) / (upperBB - lowerBB) * 100;
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} else {
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previousPercentBandwidth = currentPercentBandwidth;
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}
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previousBand = band;
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/* Moving Average Calculation */
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let numberOfPreviousPeriods;
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let currentPosition = pBArray.length;
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if (currentPosition < numberOfPeriodsPB) { // Avoinding to get into negative array indexes
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numberOfPreviousPeriods = currentPosition;
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} else {
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numberOfPreviousPeriods = numberOfPeriodsPB;
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}
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movingAverage = 0;
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for (let j = currentPosition - numberOfPreviousPeriods; j < currentPosition; j++) { // go through the last numberOfPeriodsPBs to calculate the moving average.
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movingAverage = movingAverage + pBArray[j].currentPercentBandwidth;
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}
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movingAverage = movingAverage + currentPercentBandwidth;
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movingAverage = movingAverage / (numberOfPreviousPeriods + 1);
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let percentageBandwidth = {
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begin: candles[i].begin,
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end: candles[i].end,
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previousPercentBandwidth: previousPercentBandwidth,
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currentPercentBandwidth: currentPercentBandwidth,
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movingAverage: movingAverage
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};
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/* Will only add to the array the pBs of the current day */
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if (pB.begin >= processDate.valueOf()) { pBArray.push(percentageBandwidth); }
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}
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writeFile(bandsArray);
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writeBandsFile(bandsArray, pBArray);
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> loopBody -> calculateBands -> err = " + err.message);
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@@ -523,11 +581,11 @@
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}
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}
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function writeFile(pBands, callback) {
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function writeBandsFile(pBands, pPB) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writeFile -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writeBandsFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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@@ -541,9 +599,9 @@
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fileContent = fileContent + separator + '[' +
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band.begin + "," +
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band.end + "," +
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band.close + "," +
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band.movingAverage + "," +
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band.standardDeviation + "]";
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band.standardDeviation + "," +
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band.deviation + "]";
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if (separator === "") { separator = ","; }
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@@ -565,36 +623,105 @@
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writeFile -> onFileCreated -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writeBandsFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) {
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logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writeFile -> onFileCreated -> Content written = " + fileContent);
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logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writeBandsFile -> onFileCreated -> Content written = " + fileContent);
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}
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> writeBandBandsFile -> writeFile -> onFileCreated -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> writeBandBandsFile -> writeBandsFile -> onFileCreated -> err = " + err.message);
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callBackFunction(err);
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return;
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}
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const logText = "[WARN] Finished with File @ " + market.assetA + "_" + market.assetB + ", " + fileRecordCounter + " records inserted into " + filePath + "/" + fileName + "";
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writeFile -> onFileCreated -> " + logText); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writeBandsFile -> onFileCreated -> " + logText); }
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controlLoop();
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writePBFile(pPB);
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> loopBody -> writeBandBandsFile -> writeFile -> onFileCreated -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> loopBody -> writeBandBandsFile -> writeBandsFile -> onFileCreated -> err = " + err.message);
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> loopBody -> writeBandBandsFile -> writeFile -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> loopBody -> writeBandBandsFile -> writeBandsFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function writePBFile(pPercentageBandwidths) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writePBFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
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let fileContent = "";
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for (i = 0; i < pPercentageBandwidths.length; i++) {
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let pB = pPercentageBandwidths[i];
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fileContent = fileContent + separator + '[' +
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pB.begin + "," +
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pB.end + "," +
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pB.previousPercentBandwidth + "," +
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pB.currentPercentBandwidth + "," +
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pB.movingAverage + "]";
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if (separator === "") { separator = ","; }
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fileRecordCounter++;
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}
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fileContent = "[" + fileContent + "]";
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let dateForPath = processDate.getUTCFullYear() + '/' + utilities.pad(processDate.getUTCMonth() + 1, 2) + '/' + utilities.pad(processDate.getUTCDate(), 2);
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let fileName = '' + market.assetA + '_' + market.assetB + '.json';
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let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + PERCENTAGE_BANDWIDTH_FOLDER_NAME + "/" + bot.process + "/" + timePeriod + "/" + dateForPath;
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chrisStorage.createTextFile(filePath, fileName, 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 -> buildBands -> loopBody -> writeBandBandsFile -> writePBFile -> onFileCreated -> Entering function."); }
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if (LOG_FILE_CONTENT === true) {
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logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writePBFile -> onFileCreated -> Content written = " + fileContent);
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}
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> writeBandBandsFile -> writePBFile -> onFileCreated -> err = " + err.message);
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callBackFunction(err);
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return;
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}
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const logText = "[WARN] Finished with File @ " + market.assetA + "_" + market.assetB + ", " + fileRecordCounter + " records inserted into " + filePath + "/" + fileName + "";
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> writeBandBandsFile -> writePBFile -> onFileCreated -> " + logText); }
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controlLoop();
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> loopBody -> writeBandBandsFile -> writePBFile -> onFileCreated -> err = " + err.message);
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> periodsLoop -> loopBody -> writeBandBandsFile -> writePBFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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} catch (err) {
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+148
-17
@@ -11,6 +11,7 @@
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const CANDLES_FOLDER_NAME = "Candles";
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const BOLLINGER_BANDS_FOLDER_NAME = "Bollinger-Bands";
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const PERCENTAGE_BANDWIDTH_FOLDER_NAME = "Percentage-Bandwidth";
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const commons = COMMONS.newCommons(bot, logger, UTILITIES);
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@@ -153,7 +154,6 @@
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let marketFile = JSON.parse(text);
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let candles = [];
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let bandsArray = [];
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buildCandles();
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@@ -203,40 +203,99 @@
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildBands -> Entering function."); }
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let n = 20;
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let bandsArray = [];
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let pBArray = [];
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let numberOfPeriodsBB = 20;
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let numberOfStandardDeviations = 2;
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let numberOfPeriodsPB = 10;
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/* Building bands */
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let band;
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let previousBand;
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for (let i = n - 1; i < candles.length; i++) { // Go through all the candles to generate a band segment for each of them.
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for (let i = numberOfPeriodsBB - 1; i < candles.length; i++) { // Go through all the candles to generate a band segment for each of them.
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let movingAverage = 0;
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for (let j = i - n + 1; j < i + 1; j++) { // go through the last n candles to calculate the moving average.
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for (let j = i - numberOfPeriodsBB + 1; j < i + 1; j++) { // go through the last numberOfPeriodsBB candles to calculate the moving average.
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movingAverage = movingAverage + candles[j].close;
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}
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movingAverage = movingAverage / n;
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movingAverage = movingAverage / numberOfPeriodsBB;
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let standardDeviation = 0;
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for (let j = i - n + 1; j < i + 1; j++) { // go through the last n candles to calculate the standard deviation.
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for (let j = i - numberOfPeriodsBB + 1; j < i + 1; j++) { // go through the last numberOfPeriodsBB candles to calculate the standard deviation.
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standardDeviation = standardDeviation + Math.pow (candles[j].close - movingAverage, 2);
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}
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standardDeviation = standardDeviation / n;
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standardDeviation = standardDeviation / numberOfPeriodsBB;
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standardDeviation = Math.sqrt(standardDeviation);
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band = {
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begin: candles[i].begin,
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end: candles[i].end,
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close: candles[i].close,
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movingAverage: movingAverage,
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standardDeviation: standardDeviation
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standardDeviation: standardDeviation,
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deviation: standardDeviation * numberOfStandardDeviations
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};
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bandsArray.push(band);
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/* Calculating %B */
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let lowerBB;
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let upperBB;
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lowerBB = band.movingAverage - band.deviation;
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upperBB = band.movingAverage + band.deviation;
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let currentPercentBandwidth = (candles[i].close - lowerBB) / (upperBB - lowerBB) * 100;
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let previousPercentBandwidth;
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if (previousBand !== undefined) {
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lowerBB = previousBand.movingAverage - previousBand.deviation;
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upperBB = previousBand.movingAverage + previousBand.deviation;
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previousPercentBandwidth = (candles[i-1].close - lowerBB) / (upperBB - lowerBB) * 100;
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} else {
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previousPercentBandwidth = currentPercentBandwidth;
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}
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previousBand = band;
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/* Moving Average Calculation */
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let numberOfPreviousPeriods;
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let currentPosition = pBArray.length;
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if (currentPosition < numberOfPeriodsPB) { // Avoinding to get into negative array indexes
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numberOfPreviousPeriods = currentPosition;
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} else {
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numberOfPreviousPeriods = numberOfPeriodsPB;
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}
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movingAverage = 0;
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for (let j = currentPosition - numberOfPreviousPeriods; j < currentPosition; j++) { // go through the last numberOfPeriodsPBs to calculate the moving average.
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movingAverage = movingAverage + pBArray[j].currentPercentBandwidth;
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}
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movingAverage = movingAverage + currentPercentBandwidth;
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movingAverage = movingAverage / (numberOfPreviousPeriods + 1);
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let percentageBandwidth = {
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begin: candles[i].begin,
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end: candles[i].end,
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previousPercentBandwidth: previousPercentBandwidth,
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currentPercentBandwidth: currentPercentBandwidth,
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movingAverage: movingAverage
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};
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/* Will only add to the array the pBs of the current day */
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pBArray.push(percentageBandwidth);
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}
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writeBandsFile();
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writeBandsFile(bandsArray, pBArray);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> buildBands -> err = " + err.message);
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@@ -244,7 +303,7 @@
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}
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}
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function writeBandsFile() {
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function writeBandsFile(pBands, pPB) {
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try {
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@@ -255,16 +314,16 @@
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let fileContent = "";
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for (i = 0; i < bandsArray.length; i++) {
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for (i = 0; i < pBands.length; i++) {
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let band = bandsArray[i];
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let band = pBands[i];
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fileContent = fileContent + separator + '[' +
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band.begin + "," +
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band.end + "," +
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band.close + "," +
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band.movingAverage + "," +
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band.standardDeviation + "]";
|
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band.standardDeviation + "," +
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band.deviation + "]";
|
||||
|
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if (separator === "") { separator = ","; }
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@@ -299,7 +358,7 @@
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}
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controlLoop();
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writePBFile(pPB);
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}
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catch (err) {
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@@ -313,6 +372,78 @@
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
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}
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||||
|
||||
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function writePBFile(pPercentageBandwidths) {
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||||
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> Entering function."); }
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let separator = "";
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let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (i = 0; i < pPercentageBandwidths.length; i++) {
|
||||
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let pB = pPercentageBandwidths[i];
|
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|
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fileContent = fileContent + separator + '[' +
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pB.begin + "," +
|
||||
pB.end + "," +
|
||||
pB.previousPercentBandwidth + "," +
|
||||
pB.currentPercentBandwidth + "," +
|
||||
pB.movingAverage + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + PERCENTAGE_BANDWIDTH_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
||||
chrisStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
controlLoop();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> onFileCreated -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> writePBFile -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildBands -> loopBody -> nextCandleFile -> onFileReceived -> err = " + err.message);
|
||||
|
||||
@@ -157,17 +157,17 @@
|
||||
"codeName": "Multi-Period-Market",
|
||||
"type": "Market Files",
|
||||
"validPeriods": [ "24-hs", "12-hs", "08-hs", "06-hs", "04-hs", "03-hs", "02-hs", "01-hs" ],
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bollinger-Bands/Multi-Period-Market/@Period",
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Percentage-Bandwidth/Multi-Period-Market/@Period",
|
||||
"fileName": "@AssetA_@AssetB.json"
|
||||
},
|
||||
{
|
||||
"codeName": "Multi-Period-Daily",
|
||||
"type": "Daily Files",
|
||||
"validPeriods": [ "45-min", "40-min", "30-min", "20-min", "15-min", "10-min", "05-min", "04-min", "03-min", "02-min", "01-min" ],
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bollinger-Bands/Multi-Period-Daily/@Period/@Year/@Month/@Day",
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Percentage-Bandwidth/Multi-Period-Daily/@Period/@Year/@Month/@Day",
|
||||
"fileName": "@AssetA_@AssetB.json",
|
||||
"dataRange": {
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Bollinger-Bands/Multi-Period-Daily",
|
||||
"filePath": "AAMasters/AAChris.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Percentage-Bandwidth/Multi-Period-Daily",
|
||||
"fileName": "Data.Range.@AssetA_@AssetB.json"
|
||||
}
|
||||
}
|
||||
|
||||
Reference in new issue
Block a user