Precision bug
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Luis Fernando Molina committed
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@@ -95,7 +95,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
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if (err !== undefined) {
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logger.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
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}
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throw 'It is not safe to continue with a Definition Error like this. Please fix the problem and try again.'
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throw 'Please fix the problem and try again.'
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}
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}
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@@ -355,11 +355,6 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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}
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}
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/* Filter by what is defined at the Strategy */
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if (tradingSystemOrder.simulatedExchangeEvents === undefined) {
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badDefinitionUnhandledException(undefined, 'tradingSystemOrder.simulatedExchangeEvents === undefined', tradingSystemOrder)
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}
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let previousBaseAssetSizeFilled = tradingEngineOrder.orderBaseAsset.sizeFilled.value
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let previousQuotedAssetSizeFilled = tradingEngineOrder.orderQuotedAsset.sizeFilled.value
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let previousBaseAssetFeesPaid = tradingEngineOrder.orderBaseAsset.feesPaid.value
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@@ -390,13 +385,15 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
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calculatedBasedOnTradingSystem = true
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
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/* Calculate this only once for this order */
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if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
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tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
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if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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}
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@@ -463,18 +460,29 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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}
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}
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if (orderWasHit === true) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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let calculatedBasedOnTradingSystem = false
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/* Percentage Filled */
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let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
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if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
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percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability !== undefined) {
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/* Percentage Filled */
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let percentageFilled = tradingSystemOrder.simulatedExchangeEvents.simulatedPartialFill.config.fillProbability * 100
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if (tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled > 100) {
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percentageFilled = 100 - tradingEngineOrder.orderStatistics.percentageFilled.value
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}
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tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
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tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
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calculatedBasedOnTradingSystem = true
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}
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tradingEngineOrder.orderStatistics.percentageFilled.value = tradingEngineOrder.orderStatistics.percentageFilled.value + percentageFilled
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tradingEngineOrder.orderStatistics.percentageFilled.value = global.PRECISE(tradingEngineOrder.orderStatistics.percentageFilled.value, 10)
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}
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} else {
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}
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/*
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If there is no definition for this at the trading system we will assume orders
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are 100% filled every single time.
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*/
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if (calculatedBasedOnTradingSystem === false) {
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/* We will assume that 100% of the order was filled */
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tradingEngineOrder.orderStatistics.percentageFilled.value = 100
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}
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@@ -505,26 +513,28 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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let calculatedBasedOnTradingSystem = false
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/* Based on the Trading System Definition */
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderBaseAsset.feesPaid.value === tradingEngineOrder.orderBaseAsset.feesPaid.config.initialValue) {
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if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
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if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
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if (tradingEngineOrder.orderBaseAsset.feesPaid.value === tradingEngineOrder.orderBaseAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderBaseAsset.feesPaid.value =
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tradingEngineOrder.orderBaseAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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calculatedBasedOnTradingSystem = true
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}
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calculatedBasedOnTradingSystem = true
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}
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if (tradingEngineOrder.orderQuotedAsset.feesPaid.value === tradingEngineOrder.orderQuotedAsset.feesPaid.config.initialValue) {
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if (tradingEngineOrder.orderQuotedAsset.feesPaid.value === tradingEngineOrder.orderQuotedAsset.feesPaid.config.initialValue) {
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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tradingEngineOrder.orderQuotedAsset.feesPaid.value =
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tradingEngineOrder.orderQuotedAsset.size.value *
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tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100 *
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tradingEngineOrder.orderStatistics.percentageFilled.value / 100
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calculatedBasedOnTradingSystem = true
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calculatedBasedOnTradingSystem = true
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}
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}
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}
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}
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@@ -993,7 +1003,7 @@ exports.newTradingOrders = function newTradingOrders(bot, logger, tradingEngineM
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if (err !== undefined) {
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logger.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
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}
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throw 'It is not safe to continue with a Definition Error like this. Please fix the problem and try again.'
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throw 'Please fix the problem and try again.'
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}
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}
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@@ -347,6 +347,6 @@ exports.newTradingPosition = function newTradingPosition(bot, logger, tradingEng
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if (err !== undefined) {
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logger.write(MODULE_NAME, "[ERROR] -> err.stack = " + err.stack);
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}
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throw 'It is not safe to continue with a Definition Error like this. Please fix the problem and try again.'
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throw 'Please fix the problem and try again.'
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}
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}
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@@ -894,8 +894,11 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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switch (tradingEngineStage.stageDefinedIn.value) {
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case 'Base Asset': {
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if (
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tradingEngineStage.stageBaseAsset.sizeFilled.value +
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tradingEngineStage.stageBaseAsset.feesPaid.value >=
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global.PRECISE(
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tradingEngineStage.stageBaseAsset.sizeFilled.value +
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tradingEngineStage.stageBaseAsset.feesPaid.value
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, 10)
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>=
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tradingEngineStage.stageBaseAsset.targetSize.value
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) {
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positionFilled()
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@@ -906,8 +909,11 @@ exports.newTradingStages = function newTradingStages(bot, logger, tradingEngineM
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}
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case 'Quoted Asset': {
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if (
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tradingEngineStage.stageQuotedAsset.sizeFilled.value +
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tradingEngineStage.stageQuotedAsset.feesPaid.value >=
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global.PRECISE(
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tradingEngineStage.stageQuotedAsset.sizeFilled.value +
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tradingEngineStage.stageQuotedAsset.feesPaid.value
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, 10)
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>=
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tradingEngineStage.stageQuotedAsset.targetSize.value
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) {
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positionFilled()
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