await problem solved
This commit is contained in:
Luis Fernando Molina committed
1 parent
943ce538ca
commit
95e16c7ab7
4 files changed
+39
-43
No files matched your search
@@ -63,7 +63,7 @@
|
||||
}
|
||||
|
||||
try {
|
||||
let order = await (exchange.fetchOrder(orderId, symbol))
|
||||
let order = await exchange.fetchOrder(orderId, symbol)
|
||||
return order
|
||||
} catch (err) {
|
||||
tradingSystem.errors.push([tradingSystemOrder.id, err.message])
|
||||
@@ -144,7 +144,7 @@
|
||||
}
|
||||
|
||||
try {
|
||||
let order = await (exchange.cancelOrder(orderId, symbol))
|
||||
let order = await exchange.cancelOrder(orderId, symbol)
|
||||
return true
|
||||
} catch (err) {
|
||||
tradingSystem.errors.push([tradingSystemOrder.id, err.message])
|
||||
|
||||
@@ -43,26 +43,26 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
announcementsModule = undefined
|
||||
}
|
||||
|
||||
function checkExecution(executionNode, stageIsOpening, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
|
||||
async function checkExecution(executionNode, stageIsOpening, stageIsClosing, stageSizeLimit, stageOrdersSize, stageFilledSize) {
|
||||
|
||||
/* Enforcing Precision Limit */
|
||||
stageSizeLimit.value = global.PRECISE(stageSizeLimit.value, 10)
|
||||
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
||||
stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
|
||||
|
||||
checkExecutionAlgorithms(executionNode)
|
||||
await checkExecutionAlgorithms(executionNode)
|
||||
|
||||
function checkExecutionAlgorithms(executionNode) {
|
||||
async function checkExecutionAlgorithms(executionNode) {
|
||||
for (let i = 0; i < executionNode.executionAlgorithms.length; i++) {
|
||||
let executionAlgorithm = executionNode.executionAlgorithms[i]
|
||||
checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
|
||||
checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
|
||||
checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
|
||||
checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
|
||||
await checkOrders(executionAlgorithm.marketBuyOrders, executionAlgorithm, executionNode)
|
||||
await checkOrders(executionAlgorithm.marketSellOrders, executionAlgorithm, executionNode)
|
||||
await checkOrders(executionAlgorithm.limitBuyOrders, executionAlgorithm, executionNode)
|
||||
await checkOrders(executionAlgorithm.limitSellOrders, executionAlgorithm, executionNode)
|
||||
}
|
||||
}
|
||||
|
||||
function checkOrders(orders, executionAlgorithm, executionNode) {
|
||||
async function checkOrders(orders, executionAlgorithm, executionNode) {
|
||||
for (let i = 0; i < orders.length; i++) {
|
||||
|
||||
let tradingSystemOrder = orders[i]
|
||||
@@ -99,7 +99,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
if (situationName !== undefined) {
|
||||
|
||||
/* Open a new order */
|
||||
openOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName)
|
||||
await openOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName)
|
||||
}
|
||||
}
|
||||
break
|
||||
@@ -113,7 +113,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
simulateExchangeEvents(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
/* Check Events that happens at the Exchange, if needed. */
|
||||
checkExchangeEvents(tradingSystemOrder, tradingEngineOrder)
|
||||
await checkExchangeEvents(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
/* If the stage is closing or the order is not still Open, we wont be cancelling orders based on defined events */
|
||||
if (stageIsClosing !== true && tradingEngineOrder.status.value === 'Open') {
|
||||
@@ -122,7 +122,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
let situationName = checkOrderEvent(tradingSystemOrder.cancelOrderEvent, tradingSystemOrder, executionAlgorithm, executionNode)
|
||||
if (situationName !== undefined) {
|
||||
simulateCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
|
||||
exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
|
||||
await exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Cancel Event')
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -130,7 +130,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
}
|
||||
}
|
||||
|
||||
function openOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
|
||||
async function openOrder(executionAlgorithm, tradingSystemOrder, tradingEngineOrder, situationName) {
|
||||
/* Order Size Calculation */
|
||||
tradingEngineOrder.size.value = tradingSystem.formulas.get(executionAlgorithm.positionSize.formula.id) * tradingSystemOrder.config.positionSizePercentage / 100
|
||||
if (stageOrdersSize.value + tradingEngineOrder.size.value > stageSizeLimit.value) {
|
||||
@@ -152,7 +152,8 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
}
|
||||
|
||||
/* Place Order at the Exchange */
|
||||
if (createOrderAtExchange(tradingSystemOrder, tradingEngineOrder) !== true) { return }
|
||||
let result = await createOrderAtExchange(tradingSystemOrder, tradingEngineOrder)
|
||||
if (result !== true) { return }
|
||||
|
||||
/* Updating Episode Counters */
|
||||
tradingEngine.episode.episodeCounters.orders.value++
|
||||
@@ -271,7 +272,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
}
|
||||
}
|
||||
|
||||
function checkExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
|
||||
async function checkExchangeEvents(tradingSystemOrder, tradingEngineOrder) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
@@ -289,7 +290,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
}
|
||||
}
|
||||
|
||||
let order = exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
if (order === undefined) { return }
|
||||
|
||||
@@ -300,7 +301,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
}
|
||||
|
||||
/* Status Checks */
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value === 100 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
||||
if (order.remaining === 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
@@ -309,7 +310,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
/* Initialize this */
|
||||
tradingEngine.current.distanceToEvent.closeOrder.value = 1
|
||||
}
|
||||
if (tradingEngineOrder.orderStatistics.percentageFilled.value < 100 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
||||
if (order.remaining > 0 && order.status === AT_EXCHANGE_STATUS.CLOSED) {
|
||||
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
@@ -332,14 +333,14 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
|
||||
/* Forced Cancellation Check */
|
||||
if (stageIsClosing === true && tradingEngineOrder.status.value !== 'Closed') {
|
||||
exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
||||
await exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, 'Closing Stage')
|
||||
}
|
||||
}
|
||||
|
||||
function syncWithExchange(tradingSystemOrder, tradingEngineOrder, order) {
|
||||
/* Percentage Filled */
|
||||
let currentPercentageFilled = tradingEngineOrder.orderStatistics.percentageFilled.value
|
||||
let percentageFilled = order.filled * 100 / tradingEngineOrder.size
|
||||
let percentageFilled = order.filled * 100 / (order.filled + order.remaining)
|
||||
percentageFilled = global.PRECISE(percentageFilled.value, 10)
|
||||
tradingEngineOrder.orderStatistics.percentageFilled.value = percentageFilled
|
||||
|
||||
@@ -348,12 +349,12 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
stageFilledSize.value = stageFilledSize.value + tradingEngineOrder.size.value * percentageFilled / 100 // Second add the new filled size
|
||||
stageFilledSize.value = global.PRECISE(stageFilledSize.value, 10)
|
||||
|
||||
/* Actual Rate Simulation */
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = order.cost / order.filled
|
||||
/* Actual Rate Calculation */
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = order.price
|
||||
tradingEngineOrder.orderStatistics.actualRate.value = global.PRECISE(tradingEngineOrder.orderStatistics.actualRate.value, 10)
|
||||
|
||||
/* Fees Paid Simulation */
|
||||
tradingEngineOrder.orderStatistics.feesPaid.value = order.fee.rate
|
||||
/* Fees Paid Calculation */
|
||||
tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value - order.amount
|
||||
tradingEngineOrder.orderStatistics.feesPaid.value = global.PRECISE(tradingEngineOrder.orderStatistics.feesPaid.value, 10)
|
||||
}
|
||||
|
||||
@@ -389,7 +390,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
stageOrdersSize.value = global.PRECISE(stageOrdersSize.value, 10)
|
||||
}
|
||||
|
||||
function exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
||||
async function exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder, exitType) {
|
||||
|
||||
/* Filter by Session Type */
|
||||
switch (bot.SESSION.type) {
|
||||
@@ -408,7 +409,8 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
}
|
||||
|
||||
/* Check if we can cancel the order at the Exchange. */
|
||||
if (exchangeAPIModule.exchangeCancelOrder(tradingSystemOrder, tradingEngineOrder) === true) {
|
||||
let result = await exchangeAPIModule.cancelOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
if (result === true) {
|
||||
/* Close this Order */
|
||||
tradingEngineOrder.status.value = 'Closed'
|
||||
tradingEngineOrder.exitType.value = exitType
|
||||
@@ -427,16 +429,10 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
|
||||
To sync our accounting, we need to check the order one last time and if it changed, fix it.
|
||||
*/
|
||||
|
||||
let order = exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
let order = await exchangeAPIModule.getOrder(tradingSystemOrder, tradingEngineOrder)
|
||||
|
||||
if (order === undefined) { return }
|
||||
|
||||
const AT_EXCHANGE_STATUS = {
|
||||
OPEN: 'open',
|
||||
CLOSED: 'closed',
|
||||
CANCELLED: 'canceled'
|
||||
}
|
||||
|
||||
syncWithExchange(tradingSystemOrder, tradingEngineOrder, order)
|
||||
}
|
||||
}
|
||||
|
||||
@@ -108,7 +108,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
loop()
|
||||
}
|
||||
|
||||
function loop() {
|
||||
async function loop() {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + tradingEngine.current.candle.index.value) }
|
||||
let candle = candles[tradingEngine.current.candle.index.value] // This is the current candle the Simulation is working at.
|
||||
|
||||
@@ -146,13 +146,13 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
tradingSystemModule.triggerStage()
|
||||
|
||||
/* Run the Open Stage */
|
||||
tradingSystemModule.openStage()
|
||||
await tradingSystemModule.openStage()
|
||||
|
||||
/* Run the Manage Stage */
|
||||
tradingSystemModule.manageStage()
|
||||
|
||||
/* Run the Close Stage */
|
||||
tradingSystemModule.closeStage()
|
||||
await tradingSystemModule.closeStage()
|
||||
|
||||
/* Add new records to the process output */
|
||||
tradingRecordsModule.appendRecords()
|
||||
|
||||
@@ -504,7 +504,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
}
|
||||
}
|
||||
|
||||
function openStage() {
|
||||
async function openStage() {
|
||||
/* Abort Open Stage Check */
|
||||
if (tradingEngine.current.strategy.openStageStatus.value === 'Open' && tradingEngine.current.strategy.closeStageStatus.value === 'Open') {
|
||||
/*
|
||||
@@ -538,7 +538,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
evalConditions(stageNode, 'Open Execution')
|
||||
evalFormulas(stageNode, 'Open Execution')
|
||||
|
||||
tradingExecutionModule.checkExecution(executionNode, true, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
|
||||
await tradingExecutionModule.checkExecution(executionNode, true, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
|
||||
|
||||
/* From here on, the state is officially Open */
|
||||
tradingStrategyModule.updateStageStatus('Open Stage', 'Open')
|
||||
@@ -558,7 +558,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
evalConditions(stageNode, 'Open Execution')
|
||||
evalFormulas(stageNode, 'Open Execution')
|
||||
|
||||
tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
|
||||
await tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
|
||||
|
||||
/*
|
||||
The Open is finished when the fillSize reaches the Position Size.
|
||||
@@ -586,7 +586,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
evalConditions(stageNode, 'Open Execution')
|
||||
evalFormulas(stageNode, 'Open Execution')
|
||||
|
||||
tradingExecutionModule.checkExecution(executionNode, false, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
|
||||
await tradingExecutionModule.checkExecution(executionNode, false, true, tradingEngine.current.position.size, tradingEngine.current.position.openStageOrdersSize, tradingEngine.current.position.openStageFilledSize)
|
||||
}
|
||||
|
||||
/*
|
||||
@@ -948,7 +948,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
}
|
||||
}
|
||||
|
||||
function closeStage() {
|
||||
async function closeStage() {
|
||||
/* Opening Status Procedure */
|
||||
if (tradingEngine.current.strategy.closeStageStatus.value === 'Opening') {
|
||||
/*
|
||||
@@ -972,7 +972,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger, tradingEngineM
|
||||
evalConditions(stageNode, 'Close Execution')
|
||||
evalFormulas(stageNode, 'Close Execution')
|
||||
|
||||
tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
|
||||
await tradingExecutionModule.checkExecution(executionNode, false, false, tradingEngine.current.position.openStageFilledSize, tradingEngine.current.position.closeStageOrdersSize, tradingEngine.current.position.closeStageFilledSize)
|
||||
|
||||
/* Close the Stage Validation */
|
||||
if (tradingEngine.current.position.closeStageFilledSize.value === tradingEngine.current.position.openStageFilledSize.value) {
|
||||
|
||||
Reference in new issue
Block a user