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Trading Engine Main Loop

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Luis Fernando Molina committed 2019-07-22 23:01:11 +02:00
1 parent ec2b880b12
commit 8d33a3f143
4 files changed
+98 -13
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MultiPeriodDaily.js
+11 -11
View File
@@ -284,7 +284,7 @@
let n;
let botNeverRan = true;
bot.processDatetime = new Date(contextVariables.lastFile.valueOf() - ONE_DAY_IN_MILISECONDS); // Go back one day to start well when we advance time at the begining of the loop.
bot.multiPeriodDailyProcessDatetime = new Date(contextVariables.lastFile.valueOf() - ONE_DAY_IN_MILISECONDS); // Go back one day to start well when we advance time at the begining of the loop.
advanceTime();
@@ -294,21 +294,21 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> advanceTime -> Entering function."); }
bot.processDatetime = new Date(bot.processDatetime.valueOf() + ONE_DAY_IN_MILISECONDS);
previousDay = new Date(bot.processDatetime.valueOf() - ONE_DAY_IN_MILISECONDS);
bot.multiPeriodDailyProcessDatetime = new Date(bot.multiPeriodDailyProcessDatetime.valueOf() + ONE_DAY_IN_MILISECONDS);
previousDay = new Date(bot.multiPeriodDailyProcessDatetime.valueOf() - ONE_DAY_IN_MILISECONDS);
console.log(new Date().toISOString() + " " + pad(bot.codeName, 20) + " " + pad(bot.process, 30) + " " + " bot.processDatetime = " + bot.processDatetime.toISOString());
console.log(new Date().toISOString() + " " + pad(bot.codeName, 20) + " " + pad(bot.process, 30) + " " + " bot.multiPeriodDailyProcessDatetime = " + bot.multiPeriodDailyProcessDatetime.toISOString());
if(global.FULL_LOG === 'true'){
logger.newInternalLoop(bot.codeName, bot.process);
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> advanceTime -> bot.processDatetime = " + bot.processDatetime); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> advanceTime -> bot.multiPeriodDailyProcessDatetime = " + bot.multiPeriodDailyProcessDatetime); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> advanceTime -> previousDay = " + previousDay); }
/* Validation that we are not going past the head of the market. */
if (bot.processDatetime.valueOf() > contextVariables.dateEndOfMarket.valueOf()) {
if (bot.multiPeriodDailyProcessDatetime.valueOf() > contextVariables.dateEndOfMarket.valueOf()) {
const logText = "Head of the market found @ " + previousDay.getUTCFullYear() + "/" + (previousDay.getUTCMonth() + 1) + "/" + previousDay.getUTCDate() + ".";
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> advanceTime -> " + logText); }
@@ -395,7 +395,7 @@
let previousFile;
let currentFile;
if (bot.processDatetime.valueOf() > contextVariables.dateBeginOfMarket.valueOf()) {
if (bot.multiPeriodDailyProcessDatetime.valueOf() > contextVariables.dateBeginOfMarket.valueOf()) {
getPreviousFile();
} else {
previousFile = [];
@@ -473,7 +473,7 @@
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> processTimePeriods -> periodsLoopBody -> dependencyLoopBody -> getCurrentFile -> Entering function."); }
let dateForPath = bot.processDatetime.getUTCFullYear() + '/' + utilities.pad(bot.processDatetime.getUTCMonth() + 1, 2) + '/' + utilities.pad(bot.processDatetime.getUTCDate(), 2);
let dateForPath = bot.multiPeriodDailyProcessDatetime.getUTCFullYear() + '/' + utilities.pad(bot.multiPeriodDailyProcessDatetime.getUTCMonth() + 1, 2) + '/' + utilities.pad(bot.multiPeriodDailyProcessDatetime.getUTCDate(), 2);
let filePath = dependency.product + '/' + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
let fileName = market.assetA + '_' + market.assetB + ".json";
@@ -563,7 +563,7 @@
dataFiles,
timePeriod,
outputPeriodLabel,
bot.processDatetime,
bot.multiPeriodDailyProcessDatetime,
contextVariables.dateBeginOfMarket,
contextVariables.dateEndOfMarket,
interExecutionMemoryArray[n],
@@ -632,7 +632,7 @@
return;
}
writeStatusReport(bot.processDatetime, advanceTime);
writeStatusReport(bot.multiPeriodDailyProcessDatetime, advanceTime);
} catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> processTimePeriods -> controlLoop -> onWritten -> err = ", err);
@@ -667,7 +667,7 @@
let folderName = bot.products[productIndex].codeName;
writeDataRange(contextVariables.dateBeginOfMarket, bot.processDatetime, folderName, controlLoop);
writeDataRange(contextVariables.dateBeginOfMarket, bot.multiPeriodDailyProcessDatetime, folderName, controlLoop);
}
function controlLoop() {
Root.js
+6
View File
@@ -243,6 +243,12 @@
processConfig.framework.startDate.resumeExecution = false;
}
}
if (processConfig.startMode.live !== undefined) {
if (processConfig.startMode.live.beginDatetime !== undefined) {
processConfig.framework.startDate.fixedDate = processConfig.startMode.live.beginDatetime;
processConfig.framework.startDate.resumeExecution = false;
}
}
}
}
Run.js
+3 -1
View File
@@ -41,7 +41,9 @@ function readExecutionConfiguration() {
if (process.env.TYPE === 'Trading' || process.env.TYPE === 'Trading-Engine') {
let live = {
run: "false",
resumeExecution: process.env.RESUME_EXECUTION
resumeExecution: process.env.RESUME_EXECUTION,
beginDatetime: process.env.BEGIN_DATE_TIME,
endDatetime: process.env.END_DATE_TIME
}
let backtest = {
TradingEngineProcessMainLoop.js
+78 -1
View File
@@ -666,7 +666,7 @@
case global.DEFAULT_OK_RESPONSE.result: {
logger.write(MODULE_NAME, "[INFO] run -> loop -> startProcessFramework -> onFinished -> Execution finished well.");
nextWaitTime = 'Normal';
loopControl(nextWaitTime);
saveContext();
return;
}
case global.DEFAULT_RETRY_RESPONSE.result: { // Something bad happened, but if we retry in a while it might go through the next time.
@@ -778,6 +778,83 @@
}
}
function saveContext() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] run -> loop -> saveContext -> Entering function."); }
context.saveThemAll(onFinished);
function onFinished(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] run -> loop -> saveContext -> onFinished -> Entering function."); }
switch (err.result) {
case global.DEFAULT_OK_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] run -> loop -> saveContext -> onFinished -> Execution finished well."); }
nextWaitTime = 'Normal';
loopControl(nextWaitTime);
return;
}
case global.DEFAULT_RETRY_RESPONSE.result: { // Something bad happened, but if we retry in a while it might go through the next time.
logger.write(MODULE_NAME, "[ERROR] run -> loop -> saveContext -> onFinished -> Can not retry at this point.");
logger.persist();
clearInterval(fixedTimeLoopIntervalHandle);
clearTimeout(nextLoopTimeoutHandle);
clearTimeout(checkLoopHealthHandle);
bot.enableCheckLoopHealth = false;
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return;
}
case global.DEFAULT_FAIL_RESPONSE.result: { // This is an unexpected exception that we do not know how to handle.
logger.write(MODULE_NAME, "[ERROR] run -> loop -> saveContext -> onFinished -> Operation Failed. Aborting the process.");
logger.persist();
clearInterval(fixedTimeLoopIntervalHandle);
clearTimeout(nextLoopTimeoutHandle);
clearTimeout(checkLoopHealthHandle);
bot.enableCheckLoopHealth = false;
callBackFunction(err);
return;
}
default: {
logger.write(MODULE_NAME, "[ERROR] run -> loop -> saveContext -> onFinished -> Unhandled err.result received. -> err.result = " + err.result);
logger.write(MODULE_NAME, "[ERROR] run -> loop -> saveContext -> onFinished -> Unhandled err.result received. -> err.message = " + err.message);
logger.persist();
clearInterval(fixedTimeLoopIntervalHandle);
clearTimeout(nextLoopTimeoutHandle);
clearTimeout(checkLoopHealthHandle);
bot.enableCheckLoopHealth = false;
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return;
}
}
} catch (err) {
logger.write(MODULE_NAME, "[ERROR] run -> loop -> saveContext -> onFinished -> err = ", err);
logger.persist();
clearInterval(fixedTimeLoopIntervalHandle);
clearTimeout(nextLoopTimeoutHandle);
clearTimeout(checkLoopHealthHandle);
bot.enableCheckLoopHealth = false;
callBackFunction(err);
}
}
} catch (err) {
logger.write(MODULE_NAME, "[ERROR] run -> loop -> saveContext -> err = ", err);
logger.persist();
clearInterval(fixedTimeLoopIntervalHandle);
clearTimeout(nextLoopTimeoutHandle);
clearTimeout(checkLoopHealthHandle);
bot.enableCheckLoopHealth = false;
callBackFunction(err);
}
}
function loopControl(nextWaitTime) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] run -> loop -> loopControl -> Entering function."); }