simulation, strategies and positions write market done
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Luis Fernando Molina committed
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commit
9a289cb7ab
2 files changed
+202
-276
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+3
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@@ -526,55 +526,7 @@ exports.newTradingBot = function newTradingBot(bot, logger, UTILITIES, FILE_STOR
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] start -> writeMarketFiles -> writeRecordsFile -> 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 (let i = 0; i < recordsArray.length; i++) {
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let record = recordsArray[i]
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fileContent = fileContent + separator + '[' +
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record.begin + ',' +
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record.end + ',' +
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record.variable_current_balance_baseAsset + ',' +
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record.variable_current_balance_quotedAsset + ',' +
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record.variable_episode_stat_profitLoss + ',' +
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record.variable_last_position_profitLoss + ',' +
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record.variable_current_position_stopLoss_value + ',' +
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record.variable_episode_count_positions + ',' +
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record.variable_episode_count_hits + ',' +
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record.variable_episode_count_fails + ',' +
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record.variable_episode_stat_hitRatio + ',' +
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record.variable_episode_stat_ROI + ',' +
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record.variable_episode_count_periods + ',' +
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record.variable_episode_stat_days + ',' +
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record.variable_episode_stat_anualizedRateOfReturn + ',' +
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record.variable_current_position_rate + ',' +
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record.variable_last_position_ROI + ',' +
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record.variable_current_position_takeProfit_value + ',' +
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record.variable_current_position_stopLoss_phase + ',' +
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record.variable_current_position_stopLoss_phase + ',' +
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record.variable_current_position_size + ',' +
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record.variable_episode_parameters_initial_balance_baseAsset + ',' +
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record.variable_episode_parameters_minimum_balance_baseAsset + ',' +
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record.variable_episode_parameters_maximum_balance_baseAsset + ',' +
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record.variable_episode_parameters_initial_balance_quotedAsset + ',' +
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record.variable_episode_parameters_minimum_balance_quotedAsset + ',' +
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record.variable_episode_parameters_maximum_balance_quotedAsset + ',' +
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record.variable_episode_parameters_baseAsset + ',' +
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record.variable_episode_parameters_quotedAsset + ',' +
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record.variable_episode_parameters_marketBaseAsset + ',' +
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record.variable_episode_parameters_marketQuotedAsset + ',' +
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record.variable_current_position_count_periods + ',' +
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record.variable_current_position_stat_days + ']'
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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 fileContent = JSON.stringify(recordsArray)
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let fileName = 'Data.json'
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let filePath = bot.filePathRoot + '/Output/' + bot.SESSION.folderName + '/' + SIMULATED_RECORDS_FOLDER_NAME + '/' + 'Multi-Period-Market' + '/' + timeFrameLabel
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@@ -678,30 +630,7 @@ exports.newTradingBot = function newTradingBot(bot, logger, UTILITIES, FILE_STOR
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] start -> writeMarketFiles -> writeStrategiesFile -> 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 (let i = 0; i < strategiesArray.length; i++) {
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let record = strategiesArray[i]
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fileContent = fileContent + separator + '[' +
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record.begin + ',' +
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record.end + ',' +
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record.status + ',' +
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record.number + ',' +
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record.beginRate + ',' +
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record.endRate + ',' +
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'"' + record.situationName + '"' + ',' +
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'"' + record.name + '"' + ']'
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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 fileContent = JSON.stringify(strategiesArray)
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let fileName = 'Data.json'
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let filePath = bot.filePathRoot + '/Output/' + bot.SESSION.folderName + '/' + STRATEGIES_FOLDER_NAME + '/' + 'Multi-Period-Market' + '/' + timeFrameLabel
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@@ -739,31 +668,7 @@ exports.newTradingBot = function newTradingBot(bot, logger, UTILITIES, FILE_STOR
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] start -> writeMarketFiles -> writePositionsFile -> 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 (let i = 0; i < positionsArray.length; i++) {
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let record = positionsArray[i]
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if (record.stopRate === undefined) { record.stopRate = 0 }
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fileContent = fileContent + separator + '[' +
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record.begin + ',' +
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record.end + ',' +
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record.status + ',' +
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record.ROI + ',' +
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record.beginRate + ',' +
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record.endRate + ',' +
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record.exitType + ',' +
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'"' + record.situationName + '"' + ']'
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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 fileContent = JSON.stringify(positionsArray)
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let fileName = 'Data.json'
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let filePath = bot.filePathRoot + '/Output/' + bot.SESSION.folderName + '/' + TRADES_FOLDER_NAME + '/' + 'Multi-Period-Market' + '/' + timeFrameLabel
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+199
-178
@@ -384,16 +384,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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let conditions = new Map() // Here we store the conditions values that will be use in the simulator for decision making.
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let formulas = new Map()
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let conditionsArrayRecord = [] // These are the records that will be saved in a file for the plotter to consume.
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let conditionsValues = [] // Here we store the conditions values that will be written on file for the plotter.
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let formulasErrors = [] // Here we store the errors produced by all phase formulas.
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let formulasValues = [] // Here we store the values produced by all phase formulas.
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/* We define and evaluate all conditions to be used later during the simulation loop. */
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conditionsArrayRecord.push(candle.begin)
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conditionsArrayRecord.push(candle.end)
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for (let j = 0; j < tradingSystem.strategies.length; j++) {
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let strategy = tradingSystem.strategies[j]
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@@ -1828,7 +1823,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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variable.current.balance.quotedAsset = variable.current.balance.quotedAsset - variable.current.position.size
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}
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addRecord()
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addRecords()
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionAtSimulation -> Exiting Loop Body after taking position at simulation.') }
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controlLoop()
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return
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@@ -2029,7 +2024,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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variable.episode.stat.anualizedRateOfReturn = variable.episode.stat.ROI / variable.episode.stat.days * 365
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}
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addRecord()
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addRecords()
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variable.current.position.stopLoss.value = 0
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variable.current.position.takeProfit.value = 0
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@@ -2071,185 +2066,211 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
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/* Not a buy or sell condition */
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addRecord()
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addRecords()
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Exiting Loop Body after adding a record.') }
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controlLoop()
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return
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function addRecord() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> addRecord -> Entering function.') }
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let simulationRecord
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function addRecords() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> addRecords -> Entering function.') }
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if (variable.current.balance.baseAsset === Infinity) {
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variable.current.balance.baseAsset = Number.MAX_SAFE_INTEGER
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}
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if (variable.current.balance.quotedAsset === Infinity) {
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variable.current.balance.quotedAsset = Number.MAX_SAFE_INTEGER
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}
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simulationRecord = {
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begin: candle.begin,
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end: candle.end,
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variable_current_balance_baseAsset: variable.current.balance.baseAsset,
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variable_current_balance_quotedAsset: variable.current.balance.quotedAsset,
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variable_episode_stat_profitLoss: variable.episode.stat.profitLoss,
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variable_last_position_profitLoss: variable.last.position.profitLoss,
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variable_current_position_stopLoss_value: variable.current.position.stopLoss.value,
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variable_episode_count_positions: variable.episode.count.positions,
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variable_episode_count_hits: variable.episode.count.hits,
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variable_episode_count_fails: variable.episode.count.fails,
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variable_episode_stat_hitRatio: variable.episode.stat.hitRatio,
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variable_episode_stat_ROI: variable.episode.stat.ROI,
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variable_episode_count_periods: variable.episode.count.periods,
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variable_episode_stat_days: variable.episode.stat.days,
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variable_episode_stat_anualizedRateOfReturn: variable.episode.stat.anualizedRateOfReturn,
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variable_current_position_rate: variable.current.position.rate,
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variable_last_position_ROI: variable.last.position.ROI,
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variable_current_position_takeProfit_value: variable.current.position.takeProfit.value,
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variable_current_position_stopLoss_phase: variable.current.position.stopLoss.phase,
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variable_current_position_takeProfit_phase: variable.current.position.takeProfit.phase,
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variable_current_position_size: variable.current.position.size,
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variable_episode_parameters_initial_balance_baseAsset: variable.episode.parameters.initial.balance.baseAsset,
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variable_episode_parameters_minimum_balance_baseAsset: variable.episode.parameters.minimum.balance.baseAsset,
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variable_episode_parameters_maximum_balance_baseAsset: variable.episode.parameters.maximum.balance.baseAsset,
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variable_episode_parameters_initial_balance_quotedAsset: variable.episode.parameters.initial.balance.quotedAsset,
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variable_episode_parameters_minimum_balance_quotedAsset: variable.episode.parameters.minimum.balance.quotedAsset,
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variable_episode_parameters_maximum_balance_quotedAsset: variable.episode.parameters.maximum.balance.quotedAsset,
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variable_episode_parameters_baseAsset: '"' + variable.episode.parameters.baseAsset + '"',
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variable_episode_parameters_quotedAsset: '"' + variable.episode.parameters.quotedAsset + '"',
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variable_episode_parameters_marketBaseAsset: '"' + variable.episode.parameters.marketBaseAsset + '"',
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variable_episode_parameters_marketQuotedAsset: '"' + variable.episode.parameters.marketQuotedAsset + '"',
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variable_current_position_count_periods: variable.current.position.count.periods,
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variable_current_position_stat_days: variable.current.position.stat.days
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}
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recordsArray.push(simulationRecord)
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/* Prepare the information for the Conditions File */
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conditionsArrayRecord.push(variable.current.strategy.index)
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conditionsArrayRecord.push(variable.current.position.stopLoss.phase)
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conditionsArrayRecord.push(variable.current.position.takeProfit.phase)
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conditionsArrayRecord.push(conditionsValues)
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conditionsArrayRecord.push(formulasErrors)
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conditionsArrayRecord.push(formulasValues)
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conditionsArray.push(conditionsArrayRecord)
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/*
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Lets see if there will be an open strategy ...
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Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
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*/
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if (variable.current.strategy.begin !== 0 && variable.current.strategy.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
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variable.current.strategy.status = 2 // This means the strategy is open, i.e. that has a begin but no end.
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variable.current.strategy.end = candle.end
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}
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/* Prepare the information for the Strategies File */
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if (variable.current.strategy.begin !== 0 && variable.current.strategy.end !== 0) {
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let currentStrategyRecord = {
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begin: variable.current.strategy.begin,
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end: variable.current.strategy.end,
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status: variable.current.strategy.status,
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number: variable.current.strategy.number,
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beginRate: variable.current.strategy.beginRate,
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endRate: variable.current.strategy.endRate,
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situationName: variable.current.strategy.situationName,
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name: variable.current.strategy.name
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}
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strategiesArray.push(currentStrategyRecord)
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inializeCurrentStrategy()
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}
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/*
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Lets see if there will be an open trade ...
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Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
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*/
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if (variable.current.position.begin !== 0 && variable.current.position.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
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variable.current.position.status = 2 // This means the trade is open
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variable.current.position.end = candle.end
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variable.current.position.endRate = candle.close
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/* Here we will calculate the ongoing ROI */
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if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
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variable.current.position.stat.ROI = (variable.current.position.rate - candle.close) / variable.current.position.rate * 100
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} else {
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variable.current.position.stat.ROI = (candle.close - variable.current.position.rate) / variable.current.position.rate * 100
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}
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}
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/* Snapshots Management (before we generate the trade record and delete that info) */
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if (saveAsLastTriggerOnSnapshot === true) {
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snapshots.lastTriggerOn = snapshotDataRecord
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saveAsLastTriggerOnSnapshot = false
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}
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if (saveAsLastTakePositionSnapshot === true) {
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snapshots.lastTakePosition = snapshotDataRecord
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saveAsLastTakePositionSnapshot = false
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}
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if (addToSnapshots === true) {
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let closeValues = [
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variable.episode.count.positions, // Position Number
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(new Date(candle.begin)).toISOString(), // Datetime
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tradingSystem.strategies[variable.current.strategy.index].name, // Strategy Name
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variable.current.strategy.situationName, // Trigger On Situation
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variable.current.position.situationName, // Take Position Situation
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hitOrFial(), // Result
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variable.last.position.ROI, // ROI
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exitType() // Exit Type
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]
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function hitOrFial() {
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if (variable.last.position.ROI > 0) { return 'HIT' } else { return 'FAIL' }
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}
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function exitType() {
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switch (variable.current.position.exitType) {
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case 1: return 'Stop'
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case 2: return 'Take Profit'
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}
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}
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if (positionedAtYesterday === false) {
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snapshots.triggerOn.push(closeValues.concat(snapshots.lastTriggerOn))
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snapshots.takePosition.push(closeValues.concat(snapshots.lastTakePosition))
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}
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snapshots.lastTriggerOn = undefined
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snapshots.lastTakePosition = undefined
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addToSnapshots = false
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}
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let closeHeaders = ['Trade Number', 'Close Datetime', 'Strategy', 'Trigger On Situation', 'Take Position Situation', 'Result', 'ROI', 'Exit Type']
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if (snapshots.headers === undefined) {
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snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
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}
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/* Prepare the information for the Trades File */
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if (variable.current.position.begin !== 0 && variable.current.position.end !== 0) {
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let currentPositionRecord = {
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begin: variable.current.position.begin,
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end: variable.current.position.end,
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status: variable.current.position.status,
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ROI: variable.current.position.stat.ROI,
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exitType: variable.current.position.exitType,
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beginRate: variable.current.position.beginRate,
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endRate: variable.current.position.endRate,
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situationName: variable.current.position.situationName
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}
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positionsArray.push(currentPositionRecord)
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initializeCurrentPosition()
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}
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manageSnapshots()
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addSimulationRecord()
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addConditionsRecord()
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addStrategyRecord()
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addPositionRecord()
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/* After everything at the simulation level was done, we will do the annoucements that are pending. */
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makeAnnoucements()
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function manageSnapshots() {
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/* Snapshots Management (before we generate the trade record and delete that info) */
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if (saveAsLastTriggerOnSnapshot === true) {
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snapshots.lastTriggerOn = snapshotDataRecord
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saveAsLastTriggerOnSnapshot = false
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}
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if (saveAsLastTakePositionSnapshot === true) {
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snapshots.lastTakePosition = snapshotDataRecord
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saveAsLastTakePositionSnapshot = false
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}
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if (addToSnapshots === true) {
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let closeValues = [
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variable.episode.count.positions, // Position Number
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(new Date(candle.begin)).toISOString(), // Datetime
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tradingSystem.strategies[variable.current.strategy.index].name, // Strategy Name
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variable.current.strategy.situationName, // Trigger On Situation
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variable.current.position.situationName, // Take Position Situation
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hitOrFial(), // Result
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variable.last.position.ROI, // ROI
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exitType() // Exit Type
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]
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function hitOrFial() {
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if (variable.last.position.ROI > 0) { return 'HIT' } else { return 'FAIL' }
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}
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function exitType() {
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switch (variable.current.position.exitType) {
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case 1: return 'Stop'
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case 2: return 'Take Profit'
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}
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}
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if (positionedAtYesterday === false) {
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snapshots.triggerOn.push(closeValues.concat(snapshots.lastTriggerOn))
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snapshots.takePosition.push(closeValues.concat(snapshots.lastTakePosition))
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}
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snapshots.lastTriggerOn = undefined
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snapshots.lastTakePosition = undefined
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addToSnapshots = false
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}
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let closeHeaders = ['Trade Number', 'Close Datetime', 'Strategy', 'Trigger On Situation', 'Take Position Situation', 'Result', 'ROI', 'Exit Type']
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if (snapshots.headers === undefined) {
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snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
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}
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}
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function addSimulationRecord() {
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/* Simulation Record */
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let simulationRecord
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if (variable.current.balance.baseAsset === Infinity) {
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variable.current.balance.baseAsset = Number.MAX_SAFE_INTEGER
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}
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if (variable.current.balance.quotedAsset === Infinity) {
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variable.current.balance.quotedAsset = Number.MAX_SAFE_INTEGER
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}
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simulationRecord = [
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candle.begin,
|
||||
candle.end,
|
||||
variable.current.balance.baseAsset,
|
||||
variable.current.balance.quotedAsset,
|
||||
variable.episode.stat.profitLoss,
|
||||
variable.last.position.profitLoss,
|
||||
variable.current.position.stopLoss.value,
|
||||
variable.episode.count.positions,
|
||||
variable.episode.count.hits,
|
||||
variable.episode.count.fails,
|
||||
variable.episode.stat.hitRatio,
|
||||
variable.episode.stat.ROI,
|
||||
variable.episode.count.periods,
|
||||
variable.episode.stat.days,
|
||||
variable.episode.stat.anualizedRateOfReturn,
|
||||
variable.current.position.rate,
|
||||
variable.last.position.ROI,
|
||||
variable.current.position.takeProfit.value,
|
||||
variable.current.position.stopLoss.phase,
|
||||
variable.current.position.takeProfit.phase,
|
||||
variable.current.position.size,
|
||||
variable.episode.parameters.initial.balance.baseAsset,
|
||||
variable.episode.parameters.minimum.balance.baseAsset,
|
||||
variable.episode.parameters.maximum.balance.baseAsset,
|
||||
variable.episode.parameters.initial.balance.quotedAsset,
|
||||
variable.episode.parameters.minimum.balance.quotedAsset,
|
||||
variable.episode.parameters.maximum.balance.quotedAsset,
|
||||
'"' + variable.episode.parameters.baseAsset + '"',
|
||||
'"' + variable.episode.parameters.quotedAsset + '"',
|
||||
'"' + variable.episode.parameters.marketBaseAsset + '"',
|
||||
'"' + variable.episode.parameters.marketQuotedAsset + '"',
|
||||
variable.current.position.count.periods,
|
||||
variable.current.position.stat.days
|
||||
]
|
||||
|
||||
recordsArray.push(simulationRecord)
|
||||
}
|
||||
|
||||
function addConditionsRecord() {
|
||||
/* Prepare the information for the Conditions File */
|
||||
let conditionsRecord = [
|
||||
candle.begin,
|
||||
candle.end,
|
||||
variable.current.strategy.index,
|
||||
variable.current.position.stopLoss.phase,
|
||||
variable.current.position.takeProfit.phase,
|
||||
conditionsValues,
|
||||
formulasErrors,
|
||||
formulasValues
|
||||
]
|
||||
|
||||
conditionsArray.push(conditionsRecord)
|
||||
}
|
||||
|
||||
function addStrategyRecord() {
|
||||
/*
|
||||
Lets see if there will be an open strategy ...
|
||||
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
|
||||
*/
|
||||
if (variable.current.strategy.begin !== 0 && variable.current.strategy.end === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
|
||||
variable.current.strategy.status = 2 // This means the strategy is open, i.e. that has a begin but no end.
|
||||
variable.current.strategy.end = candle.end
|
||||
}
|
||||
|
||||
/* Prepare the information for the Strategies File */
|
||||
if (variable.current.strategy.begin !== 0 && variable.current.strategy.end !== 0) {
|
||||
let strategyRecord = [
|
||||
variable.current.strategy.begin,
|
||||
variable.current.strategy.end,
|
||||
variable.current.strategy.status,
|
||||
variable.current.strategy.number,
|
||||
variable.current.strategy.beginRate,
|
||||
variable.current.strategy.endRate,
|
||||
'"' + variable.current.strategy.situationName + '"',
|
||||
'"' + variable.current.strategy.name + '"'
|
||||
]
|
||||
|
||||
strategiesArray.push(strategyRecord)
|
||||
|
||||
inializeCurrentStrategy()
|
||||
}
|
||||
}
|
||||
|
||||
function addPositionRecord() {
|
||||
/*
|
||||
Lets see if there will be an open trade ...
|
||||
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
|
||||
*/
|
||||
if (variable.current.position.begin !== 0 &&
|
||||
variable.current.position.end === 0 &&
|
||||
currentCandleIndex === candles.length - 2 &&
|
||||
lastCandle.end !== lastInstantOfTheDay) {
|
||||
|
||||
/* This means the trade is open */
|
||||
variable.current.position.status = 2
|
||||
variable.current.position.end = candle.end
|
||||
variable.current.position.endRate = candle.close
|
||||
|
||||
/* Here we will calculate the ongoing ROI */
|
||||
if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
|
||||
variable.current.position.stat.ROI = (variable.current.position.rate - candle.close) / variable.current.position.rate * 100
|
||||
} else {
|
||||
variable.current.position.stat.ROI = (candle.close - variable.current.position.rate) / variable.current.position.rate * 100
|
||||
}
|
||||
}
|
||||
|
||||
/* Prepare the information for the Positions File */
|
||||
if (variable.current.position.begin !== 0 && variable.current.position.end !== 0) {
|
||||
let positionRecord = [
|
||||
variable.current.position.begin,
|
||||
variable.current.position.end,
|
||||
variable.current.position.status,
|
||||
variable.current.position.stat.ROI,
|
||||
variable.current.position.exitType,
|
||||
variable.current.position.beginRate,
|
||||
variable.current.position.endRate,
|
||||
'"' + variable.current.position.situationName + '"'
|
||||
]
|
||||
|
||||
positionsArray.push(positionRecord)
|
||||
|
||||
initializeCurrentPosition()
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function checkAnnouncements(node, value) {
|
||||
|
||||
Reference in new issue
Block a user