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

Update TradingExecution.js

Browse Source
This commit is contained in:
Luis Fernando Molina committed 2020-07-29 13:57:38 +02:00
1 parent 6c6a973b72
commit a03b025b64
1 file changed
+44 -8
Download Patch File Download Diff File Expand all files Collapse all files
TaskServer/LowFrequencyTrading/TradingExecution.js
+44 -8
View File
@@ -242,14 +242,23 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
function actualRateSimulation() {
/* Actual Rate Simulation */
let calculatedBasedOnTradingSystem = false
/* Based on the Trading System Definition */
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
/* Calculate this only once for this order */
if (tradingEngineOrder.orderStatistics.actualRate.value === tradingEngineOrder.orderStatistics.actualRate.config.initialValue) {
tradingEngineOrder.orderStatistics.actualRate.value = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
if (tradingEngineOrder.orderStatistics.actualRate.value !== undefined) {
calculatedBasedOnTradingSystem = true
}
}
}
} else {
}
/* Based on the Session Parameters Definition */
if (calculatedBasedOnTradingSystem === false) {
switch (tradingEngineOrder.type) {
case 'Market Order': {
/* Actual Rate is simulated based on the Session Paremeters */
@@ -278,13 +287,20 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
function feesPaidSimulation() {
/* Fees Paid Simulation */
let calculatedBasedOnTradingSystem = false
/* Based on the Trading System Definition */
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage !== undefined) {
if (tradingEngineOrder.orderStatistics.feesPaid.value === tradingEngineOrder.orderStatistics.feesPaid.config.initialValue) {
tradingEngineOrder.orderStatistics.feesPaid.value = tradingEngineOrder.size.value * tradingSystemOrder.simulatedExchangeEvents.simulatedFeesPaid.config.percentage / 100
calculatedBasedOnTradingSystem = true
}
}
} else {
}
/* Based on the Session Parameters Definition */
if (calculatedBasedOnTradingSystem === false) {
/* Fees are simulated based on the Session Paremeters */
switch (tradingEngineOrder.type) {
case 'Market Order': {
@@ -335,8 +351,28 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
function amountReceivedSimulation() {
/* Amount Received */
tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate
tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
let calculatedBasedOnOrderDefinition = false
/* Based on the Order Definition */
if (tradingSystemOrder.simulatedExchangeEvents !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate !== undefined) {
if (tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula !== undefined) {
let simulatedActualRate = tradingSystem.formulas.get(tradingSystemOrder.simulatedExchangeEvents.simulatedActualRate.formula.id)
if (simulatedActualRate !== undefined) {
tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * simulatedActualRate
tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
calculatedBasedOnOrderDefinition = true
}
}
}
}
/* Based on Candle Close Value */
if (calculatedBasedOnOrderDefinition === false) {
let simulatedActualRate = tradingEngine.current.candle.close.value
tradingEngineOrder.orderStatistics.amountReceived.value = tradingEngineOrder.orderStatistics.sizeFilled.value * simulatedActualRate
tradingEngineOrder.orderStatistics.amountReceived.value = global.PRECISE(tradingEngineOrder.orderStatistics.amountReceived.value, 10)
}
}
}
@@ -454,9 +490,9 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngineOrder.orderStatistics.sizeFilled.value + tradingEngineOrder.orderStatistics.feesPaid.value
/* Undo the previous accounting */
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.baseAsset.value + previousAmountReceived
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + previousAmountReceived
/* Account the current filling and fees */
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngineOrder.orderStatistics.amountReceived.value
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngineOrder.orderStatistics.amountReceived.value
break
}
@@ -468,9 +504,9 @@ exports.newTradingExecution = function newTradingExecution(bot, logger, tradingE
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngineOrder.orderStatistics.sizeFilled.value - tradingEngineOrder.orderStatistics.feesPaid.value
/* Undo the previous accounting */
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.baseAsset.value - previousAmountReceived
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - previousAmountReceived
/* Account the current filling and fees */
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngineOrder.orderStatistics.amountReceived.value
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngineOrder.orderStatistics.amountReceived.value
break
}