fez5587/Superalgos
1
0 Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Debugging several loops

Browse Source
This commit is contained in:
Luis Fernando Molina committed 2020-05-20 16:23:05 +02:00
1 parent 62ae81a936
commit 9f07108201
2 files changed
+52 -53
Download Patch File Download Diff File Expand all files Collapse all files

No files matched your search

TradingBot.js
+4 -4
View File
@@ -194,8 +194,8 @@ exports.newTradingBot = function newTradingBot(bot, logger, UTILITIES, FILE_STOR
record.lastTradeROI + ',' +
record.strategy + ',' +
record.takeProfit + ',' +
record.stopLossPhase + ',' +
record.takeProfitPhase + ',' +
record.variable_current_position_stopLoss_phase + ',' +
record.variable_current_position_stopLoss_phase + ',' +
record.positionSize + ',' +
record.initialBalanceA + ',' +
record.minimumBalanceA + ',' +
@@ -555,8 +555,8 @@ exports.newTradingBot = function newTradingBot(bot, logger, UTILITIES, FILE_STOR
record.lastTradeROI + ',' +
record.strategy + ',' +
record.takeProfit + ',' +
record.stopLossPhase + ',' +
record.takeProfitPhase + ',' +
record.variable_current_position_stopLoss_phase + ',' +
record.variable_current_position_stopLoss_phase + ',' +
record.positionSize + ',' +
record.initialBalanceA + ',' +
record.minimumBalanceA + ',' +
TradingSimulation.js
+48 -49
View File
@@ -43,6 +43,15 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
let strategiesArray = []
let positionsArray = []
/* Snapshots of Trigger On and Take Positions */
let snapshots = {
headers: undefined,
triggerOn: [],
takePosition: [],
lastTriggerOn: undefined,
lastTakePosition: undefined
}
let tradingSystem = bot.TRADING_SYSTEM
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> bot.VALUES_TO_USE.timeRange.initialDatetime = ' + bot.VALUES_TO_USE.timeRange.initialDatetime) }
@@ -954,8 +963,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
for (let j = 0; j < tradingSystem.strategies.length; j++) {
if (
strategyStage !== 'No Stage' ||
currentStrategyIndex !== -1
variable.current.strategy.stage !== 'No Stage' ||
variable.current.strategy.index !== -1
) { continue }
let strategy = tradingSystem.strategies[j]
@@ -1011,7 +1020,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
/* Trigger Off Condition */
if (variable.current.strategy.stage === 'Trigger Stage') {
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
let triggerStage = strategy.triggerStage
@@ -1058,7 +1067,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
/* Take Position Condition */
if (variable.current.strategy.stage === 'Trigger Stage') {
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
let triggerStage = strategy.triggerStage
@@ -1116,7 +1125,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
function checkStopPhases() {
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
@@ -1173,7 +1182,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
if (passed) {
variable.current.position.stopLoss.phase++
variable.current.position.stopLoss.stage = 'Manage Stage'
if (takeProfitPhase > 0) {
if (variable.current.position.takeProfit.phase > 0) {
variable.current.strategy.stage = 'Manage Stage'
checkAnnouncements(manageStage, 'Take Profit')
}
@@ -1223,7 +1232,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
variable.current.position.stopLoss.stage = 'Manage Stage'
if (takeProfitPhase > 0) {
if (variable.current.position.takeProfit.phase > 0) {
variable.current.strategy.stage = 'Manage Stage'
checkAnnouncements(manageStage, 'Take Profit')
}
@@ -1238,7 +1247,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
function calculateStopLoss() {
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let phase
@@ -1247,16 +1256,16 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
if (variable.current.position.stopLoss.stage === 'Open Stage' && openStage !== undefined) {
if (openStage.initialDefinition !== undefined) {
if (openStage.initialDefinition.stopLoss !== undefined) {
phase = openStage.initialDefinition.stopLoss.phases[stopLossPhase]
key = variable.current.strategy.index + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (stopLossPhase)
phase = openStage.initialDefinition.stopLoss.phases[variable.current.position.stopLoss.phase]
key = variable.current.strategy.index + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'stopLoss' + '-' + (variable.current.position.stopLoss.phase)
}
}
}
if (variable.current.position.stopLoss.stage === 'Manage Stage' && manageStage !== undefined) {
if (manageStage.stopLoss !== undefined) {
phase = manageStage.stopLoss.phases[stopLossPhase - 1]
key = variable.current.strategy.index + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (stopLossPhase - 1)
phase = manageStage.stopLoss.phases[variable.current.position.stopLoss.phase - 1]
key = variable.current.strategy.index + '-' + 'manageStage' + '-' + 'stopLoss' + '-' + (variable.current.position.stopLoss.phase - 1)
}
}
@@ -1266,7 +1275,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
variable.current.position.stopLoss.value = formulas.get(key)
if (stopLoss !== previousValue) {
if (variable.current.position.stopLoss.value !== previousValue) {
checkAnnouncements(phase, variable.current.position.stopLoss.value)
}
}
@@ -1283,7 +1292,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
function checkTakeProfitPhases() {
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
@@ -1341,7 +1350,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
if (passed) {
variable.current.position.takeProfit.phase++
variable.current.position.takeProfit.stage = 'Manage Stage'
if (stopLossPhase > 0) {
if (variable.current.position.stopLoss.phase > 0) {
variable.current.strategy.stage = 'Manage Stage'
checkAnnouncements(manageStage, 'Stop')
}
@@ -1391,7 +1400,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
variable.current.position.takeProfit.stage = 'Manage Stage'
if (stopLossPhase > 0) {
if (variable.current.position.stopLoss.phase > 0) {
variable.current.strategy.stage = 'Manage Stage'
checkAnnouncements(manageStage, 'Stop')
}
@@ -1406,7 +1415,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
function calculateTakeProfit() {
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let phase
@@ -1415,16 +1424,16 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
if (variable.current.position.takeProfit.stage === 'Open Stage' && openStage !== undefined) {
if (openStage.initialDefinition !== undefined) {
if (openStage.initialDefinition.takeProfit !== undefined) {
phase = openStage.initialDefinition.takeProfit.phases[takeProfitPhase]
key = variable.current.strategy.index + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (takeProfitPhase)
phase = openStage.initialDefinition.takeProfit.phases[variable.current.position.takeProfit.phase]
key = variable.current.strategy.index + '-' + 'openStage' + '-' + 'initialDefinition' + '-' + 'takeProfit' + '-' + (variable.current.position.takeProfit.phase)
}
}
}
if (variable.current.position.takeProfit.stage === 'Manage Stage' && manageStage !== undefined) {
if (manageStage.takeProfit !== undefined) {
phase = manageStage.takeProfit.phases[takeProfitPhase - 1]
key = variable.current.strategy.index + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (takeProfitPhase - 1)
phase = manageStage.takeProfit.phases[variable.current.position.takeProfit.phase - 1]
key = variable.current.strategy.index + '-' + 'manageStage' + '-' + 'takeProfit' + '-' + (variable.current.position.takeProfit.phase - 1)
}
}
@@ -1434,7 +1443,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
variable.current.position.takeProfit.value = formulas.get(key)
if (takeProfit !== previousValue) {
if (variable.current.position.takeProfit.value !== previousValue) {
checkAnnouncements(phase, variable.current.position.takeProfit.value)
}
}
@@ -1486,7 +1495,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
(variable.current.strategy.stage === 'Open Stage' || variable.current.strategy.stage === 'Manage Stage') &&
takePositionNow !== true
) {
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
/* Checking what happened since the last execution. We need to know if the Stop Loss
or our Take Profit were hit. */
@@ -1503,11 +1512,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
*/
if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
if (stopLoss < candle.min) {
if (variable.current.position.stopLoss.value < candle.min) {
variable.current.position.stopLoss.value = candle.min
}
} else {
if (stopLoss > candle.max) {
if (variable.current.position.stopLoss.value > candle.max) {
variable.current.position.stopLoss.value = candle.max
}
}
@@ -1550,11 +1559,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
*/
if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
if (takeProfit > candle.max) {
if (variable.current.position.takeProfit.value > candle.max) {
variable.current.position.takeProfit.value = candle.max
}
} else {
if (takeProfit < candle.min) {
if (variable.current.position.takeProfit.value < candle.min) {
variable.current.position.takeProfit.value = candle.min
}
}
@@ -1598,7 +1607,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
variable.current.distance.toEvent.takePosition = 1
/* Position size and rate */
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
variable.current.position.size = strategy.positionSize
variable.current.position.rate = strategy.positionRate
@@ -1829,7 +1838,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
variable.current.distance.toEvent.closePosition = 1
/* Position size and rate */
let strategy = tradingSystem.strategies[strategyIndex]
let strategy = tradingSystem.strategies[variable.current.strategy.index]
if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not. */
/* Check that we are in LIVE MODE */
@@ -1987,12 +1996,12 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
if (variable.episode.parameters.baseAsset === variable.episode.parameters.marketBaseAsset) {
variable.last.position.profitLoss = variable.current.balance.baseAsset - variable.previous.balance.baseAsset
variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size
if (isNaN(lastTradeROI)) { variable.last.position.ROI = 0 }
if (isNaN(variable.last.position.ROI)) { variable.last.position.ROI = 0 }
variable.episode.stat.profitLoss = variable.current.balance.baseAsset - variable.episode.parameters.initial.balance.baseAsset
} else {
variable.last.position.profitLoss = variable.current.balance.quotedAsset - variable.previous.balance.quotedAsset
variable.last.position.ROI = variable.last.position.profitLoss * 100 / variable.current.position.size
if (isNaN(lastTradeROI)) { variable.last.position.ROI = 0 }
if (isNaN(variable.last.position.ROI)) { variable.last.position.ROI = 0 }
variable.episode.stat.profitLoss = variable.current.balance.quotedAsset - variable.episode.parameters.initial.balance.quotedAsset
}
@@ -2093,8 +2102,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
lastTradeROI: variable.last.position.ROI,
strategy: variable.current.strategy.index,
takeProfit: variable.current.position.takeProfit.value,
stopLossPhase: variable.current.position.stopLoss.phase,
takeProfitPhase: variable.current.position.takeProfit.phase,
variable_current_position_stopLoss_phase: variable.current.position.stopLoss.phase,
variable_current_position_takeProfit_phase: variable.current.position.takeProfit.phase,
positionSize: variable.current.position.size,
initialBalanceA: variable.episode.parameters.initial.balance.baseAsset,
minimumBalanceA: variable.episode.parameters.minimum.balance.baseAsset,
@@ -2118,9 +2127,9 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
/* Prepare the information for the Conditions File */
conditionsArrayRecord.push(strategyIndex)
conditionsArrayRecord.push(stopLossPhase)
conditionsArrayRecord.push(takeProfitPhase)
conditionsArrayRecord.push(variable.current.strategy.index)
conditionsArrayRecord.push(variable.current.position.stopLoss.phase)
conditionsArrayRecord.push(variable.current.position.takeProfit.phase)
conditionsArrayRecord.push(conditionsArrayValues)
conditionsArrayRecord.push(formulasErrors)
conditionsArrayRecord.push(formulasValues)
@@ -2183,9 +2192,9 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
if (addToSnapshots === true) {
let closeValues = [
roundtrips, // Trade Number
variable.episode.count.positions, // Position Number
(new Date(candle.begin)).toISOString(), // Datetime
tradingSystem.strategies[currentStrategyIndex].name, // Strategy
tradingSystem.strategies[variable.current.strategy.index].name, // Strategy Name
currentStrategy.triggerOnSituation, // Trigger On Situation
currentTrade.takePositionSituation, // Take Position Situation
hitOrFial(), // Result
@@ -2194,7 +2203,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
]
function hitOrFial() {
if (lastTradeROI > 0) { return 'HIT' } else { return 'FAIL' }
if (variable.last.position.ROI > 0) { return 'HIT' } else { return 'FAIL' }
}
if (positionedAtYesterday === false) {
@@ -2211,16 +2220,6 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
}
if (processingDailyFiles) {
if (positionedAtYesterday) {
yesterday.snapshots.headers = snapshots.headers
yesterday.snapshots.triggerOn = snapshots.triggerOn
yesterday.snapshots.takePosition = snapshots.takePosition
yesterday.snapshots.lastTriggerOn = snapshots.lastTriggerOn
yesterday.snapshots.lastTakePosition = snapshots.lastTakePosition
}
}
/* Prepare the information for the Trades File */
if (variable.current.position.begin !== 0 && variable.current.position.end !== 0) {
let currentPositionRecord = {