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Current Strategy and Trade files generated

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This commit is contained in:
Luis Fernando Molina committed 2019-04-29 08:52:15 +02:00
1 parent e53ed7845a
commit 9592176ce2
4 files changed
+473 -14
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Commons.js
+87 -9
View File
@@ -56,6 +56,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
async function runSimulation(
recordsArray,
conditionsArray,
strategiesArray,
tradesArray,
lastObjectsArray,
simulationLogic,
timePeriod,
@@ -114,6 +116,20 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
let rate = 0;
let newStopLoss;
let currentStrategy = {
begin: 0,
end: 0,
status: 0,
number: 0
}
let currentTrade = {
begin: 0,
end: 0,
status: 0,
profit: 0
}
/*
The following counters need to survive multiple executions of the similator and keep themselves reliable.
This is challenging when the simulation is executed using Daily Files, since each execution means a new
@@ -397,7 +413,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* While we are outside all strategies, we evaluate whether it is time to enter one or not. */
/* Strategy Enter Condition */
if (strategyNumber === 0 &&
balanceAssetA > minimunBalanceA) {
@@ -440,7 +457,9 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
strategyPhase = 1;
strategyNumber = j + 1;
currentStrategy.begin = candle.begin;
currentStrategy.beginRate = candle.min;
currentStrategy.endRate = candle.min; // In case the strategy does not get exited
return;
}
}
@@ -475,6 +494,10 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
if (passed) {
currentStrategy.number = strategyNumber - 1
currentStrategy.end = candle.end;
currentStrategy.endRate = candle.min;
currentStrategy.status = 1;
strategyPhase = 0;
strategyNumber = 0;
@@ -484,6 +507,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* Checking if Stop or Take Profit were hit */
if (strategyPhase === 3) {
/* Checking what happened since the last execution. We need to know if the Stop Loss
@@ -506,6 +531,13 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
rate = stopLoss;
type = '"Buy@StopLoss"';
strategyPhase = 4;
currentTrade.end = candle.end;
currentTrade.status = 1;
currentStrategy.number = strategyNumber - 1
currentStrategy.end = candle.end;
currentStrategy.endRate = candle.min;
currentStrategy.status = 1;
}
/* Buy Order condition: Here we verify if the Buy Order was filled or not. */
@@ -526,10 +558,17 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
rate = buyOrder;
type = '"Buy@BuyOrder"';
strategyPhase = 4;
currentTrade.end = candle.end;
currentTrade.status = 1;
currentStrategy.number = strategyNumber - 1
currentStrategy.end = candle.end;
currentStrategy.endRate = candle.min;
currentStrategy.status = 1;
}
}
/* Strategy Sell Condition */
/* Trade Enter Condition */
if (strategyPhase === 1) {
@@ -561,7 +600,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
strategyPhase = 2;
stopLossPhase = 1;
buyOrderPhase = 1;
currentTrade.begin = candle.begin;
return;
}
}
@@ -619,7 +658,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* Buy Order Management */
/* Take Profit Management */
if (strategyPhase === 3) {
@@ -664,7 +703,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
}
}
/* Check if we need to sell. */
/* Entering into a Trade */
if (strategyPhase === 2) {
@@ -698,7 +737,7 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
continue;
}
/* Check if we need to buy. */
/* Exiting a Trade */
if (strategyPhase === 4) {
@@ -768,7 +807,6 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
strategyPhase = 0;
stopLossPhase = 0;
buyOrderPhase = 0;
continue;
}
@@ -821,7 +859,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
0,
"")
} else {
}
else {
orderRecord = createMessage(
messageId,
@@ -882,6 +921,8 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
type = '""';
/* Prepare the information for the Conditions File */
conditionsArrayRecord.push(strategyNumber);
conditionsArrayRecord.push(strategyPhase);
conditionsArrayRecord.push(stopLossPhase);
@@ -890,6 +931,43 @@ exports.newCommons = function newCommons(bot, logger, UTILITIES) {
conditionsArray.push(conditionsArrayRecord);
/* Prepare the information for the Strategies File*/
if (
(currentStrategy.begin !== 0 && currentStrategy.end !== 0) ||
(currentStrategy.begin !== 0 && i === candles.length - 1)
) {
strategiesArray.push(currentStrategy);
currentStrategy = {
begin: 0,
end: 0,
status: 0,
number: 0,
beginRate: 0,
endRate: 0
}
}
/* Prepare the information for the Trades File */
if (
(currentTrade.begin !== 0 && currentTrade.end !== 0) ||
(currentTrade.begin !== 0 && i === candles.length - 1)
) {
currentTrade.profit = lastProfit;
tradesArray.push(currentTrade);
currentTrade = {
begin: 0,
end: 0,
status: 0,
profit: 0
}
}
}
}
Multi-Period-Daily/User.Bot.js
+161 -1
View File
@@ -7,6 +7,8 @@
const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
const TRADES_FOLDER_NAME = "Simulation-Trades";
const commons = COMMONS.newCommons(bot, logger, UTILITIES);
@@ -63,6 +65,8 @@
let recordsArray = [];
let conditionsArray = [];
let strategiesArray = [];
let tradesArray = [];
let simulationLogic = {};
let lastObjectsArray = [];
@@ -106,6 +110,8 @@
commons.runSimulation(
recordsArray,
conditionsArray,
strategiesArray,
tradesArray,
lastObjectsArray,
simulationLogic,
timePeriod,
@@ -226,6 +232,10 @@
let record = conditionsArray[i];
/* Will only add to the file the records of the current day */
if (record.begin < currentDay.valueOf()) { continue; }
let conditions = "";
let conditionsSeparator = "";
@@ -277,7 +287,7 @@
}
callBackFunction(global.DEFAULT_OK_RESPONSE);
writeStrategiesFile();
}
catch (err) {
@@ -292,6 +302,156 @@
}
}
function writeStrategiesFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < strategiesArray.length; i++) {
let record = strategiesArray[i];
/* Will only add to the file the records of the current day */
if (record.begin < currentDay.valueOf()) { continue; }
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
record.status + "," +
record.number + "," +
record.beginRate + "," +
record.endRate + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
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/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
thisBotStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.message);
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
writeTradesFile();
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeTradesFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < tradesArray.length; i++) {
let record = tradesArray[i];
/* Will only add to the file the records of the current day */
if (record.begin < currentDay.valueOf()) { continue; }
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
record.status + "," +
record.profit + "]";
if (separator === "") { separator = ","; }
fileRecordCounter++;
}
fileContent = "[" + fileContent + "]";
let dateForPath = currentDay.getUTCFullYear() + '/' + utilities.pad(currentDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(currentDay.getUTCDate(), 2);
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/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Daily" + "/" + outputPeriodLabel + "/" + dateForPath;
thisBotStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.message);
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
callBackFunction(global.DEFAULT_OK_RESPONSE);
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.message);
Multi-Period-Market/User.Bot.js
+144 -1
View File
@@ -7,6 +7,8 @@
const SIMULATED_RECORDS_FOLDER_NAME = "Trading-Simulation";
const CONDITIONS_FOLDER_NAME = "Simulation-Conditions";
const STRATEGIES_FOLDER_NAME = "Simulation-Strategies";
const TRADES_FOLDER_NAME = "Simulation-Trades";
const commons = COMMONS.newCommons(bot, logger, UTILITIES);
@@ -63,6 +65,8 @@
let recordsArray = [];
let conditionsArray = [];
let strategiesArray = [];
let tradesArray = [];
let lastObjectsArray = [];
let simulationLogic = {};
@@ -108,6 +112,8 @@
commons.runSimulation(
recordsArray,
conditionsArray,
strategiesArray,
tradesArray,
lastObjectsArray,
simulationLogic,
timePeriod,
@@ -268,7 +274,7 @@
}
callBackFunction(global.DEFAULT_OK_RESPONSE);
writeStrategiesFile();
}
catch (err) {
@@ -283,6 +289,143 @@
}
}
function writeStrategiesFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < strategiesArray.length; i++) {
let record = strategiesArray[i];
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
record.status + "," +
record.number + "," +
record.beginRate + "," +
record.endRate + "]";
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/" + STRATEGIES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + outputPeriodLabel;
thisBotStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeStrategiesFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.message);
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
writeTradesFile();
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> onFileCreated -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeStrategiesFile -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
function writeTradesFile() {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> Entering function."); }
let separator = "";
let fileRecordCounter = 0;
let fileContent = "";
for (let i = 0; i < tradesArray.length; i++) {
let record = tradesArray[i];
fileContent = fileContent + separator + '[' +
record.begin + "," +
record.end + "," +
record.status + "," +
record.profit + "]";
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/" + TRADES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + outputPeriodLabel;
thisBotStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
function onFileCreated(err) {
try {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> Entering function."); }
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> writeTradesFile -> onFileCreated -> fileContent = " + fileContent); }
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.message);
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> filePath = " + filePath);
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
callBackFunction(err);
return;
}
callBackFunction(global.DEFAULT_OK_RESPONSE);
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> onFileCreated -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> writeTradesFile -> err = " + err.message);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
}
}
}
catch (err) {
logger.write(MODULE_NAME, "[ERROR] start -> err = " + err.message);
this.bot.config.json
+81 -3
View File
@@ -281,7 +281,7 @@
{
"codeName": "Multi-Period-Daily",
"type": "Daily Files",
"validPeriods": ["15-min", "10-min", "05-min"],
"validPeriods": [ "15-min", "10-min", "05-min" ],
"filePath": "AAMasters/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Trading-Simulation/Multi-Period-Daily/@Period/@Year/@Month/@Day",
"fileName": "@AssetA_@AssetB.json",
"dataRange": {
@@ -320,11 +320,11 @@
{
"codeName": "Multi-Period-Daily",
"type": "Daily Files",
"validPeriods": ["15-min", "10-min", "05-min"],
"validPeriods": [ "15-min", "10-min", "05-min" ],
"filePath": "AAMasters/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Simulation-Conditions/Multi-Period-Daily/@Period/@Year/@Month/@Day",
"fileName": "@AssetA_@AssetB.json",
"dataRange": {
"filePath": "AAMasters/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Trading-Simulation/Multi-Period-Daily",
"filePath": "AAMasters/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Simulation-Conditions/Multi-Period-Daily",
"fileName": "Data.Range.@AssetA_@AssetB.json"
}
}
@@ -342,6 +342,84 @@
"codeName": "PlottersTradingSimulation",
"moduleName": "Conditions"
}
},
{
"codeName": "Simulation-Strategies",
"displayName": "Simulation Strategies",
"description": "Simulation Strategies",
"storageAccount": "aajason",
"dataSets": [
{
"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/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Simulation-Strategies/Multi-Period-Market/@Period",
"fileName": "@AssetA_@AssetB.json"
},
{
"codeName": "Multi-Period-Daily",
"type": "Daily Files",
"validPeriods": [ "15-min", "10-min", "05-min" ],
"filePath": "AAMasters/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Simulation-Strategies/Multi-Period-Daily/@Period/@Year/@Month/@Day",
"fileName": "@AssetA_@AssetB.json",
"dataRange": {
"filePath": "AAMasters/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Simulation-Strategies/Multi-Period-Daily",
"fileName": "Data.Range.@AssetA_@AssetB.json"
}
}
],
"exchangeList": [
{
"name": "Poloniex"
},
{
"name": "Coss"
}
],
"plotter": {
"devTeam": "AAMasters",
"codeName": "PlottersTradingSimulation",
"moduleName": "Strategies"
}
},
{
"codeName": "Simulation-Trades",
"displayName": "Simulation Trades",
"description": "Simulation Trades",
"storageAccount": "aajason",
"dataSets": [
{
"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/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Simulation-Trades/Multi-Period-Market/@Period",
"fileName": "@AssetA_@AssetB.json"
},
{
"codeName": "Multi-Period-Daily",
"type": "Daily Files",
"validPeriods": [ "15-min", "10-min", "05-min" ],
"filePath": "AAMasters/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Simulation-Trades/Multi-Period-Daily/@Period/@Year/@Month/@Day",
"fileName": "@AssetA_@AssetB.json",
"dataRange": {
"filePath": "AAMasters/AAJason.1.0/AACloud.1.1/@Exchange/dataSet.V1/Output/Simulation-Trades/Multi-Period-Daily",
"fileName": "Data.Range.@AssetA_@AssetB.json"
}
}
],
"exchangeList": [
{
"name": "Poloniex"
},
{
"name": "Coss"
}
],
"plotter": {
"devTeam": "AAMasters",
"codeName": "PlottersTradingSimulation",
"moduleName": "Trades"
}
}
]
}