Announcements Snapshots
This commit is contained in:
Luis Fernando Molina committed
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@@ -1,57 +0,0 @@
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exports.newAnnouncements = function (processIndex) {
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const MODULE_NAME = 'Announcements'
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let thisObject = {
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makeAnnoucements: makeAnnoucements,
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initialize: initialize,
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finalize: finalize
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}
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let tradingSystem
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let tradingEngine
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return thisObject
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function initialize() {
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tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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}
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function finalize() {
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tradingSystem = undefined
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tradingEngine = undefined
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TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.messagesSent = undefined
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}
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function makeAnnoucements(node) {
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if (node.announcements !== undefined) {
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for (let i = 0; i < node.announcements.length; i++) {
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let announcement = node.announcements[i]
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let canAnnounce = true
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if (announcement.announcementCondition !== undefined) {
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let conditionValue
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try {
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conditionValue = eval(announcement.announcementCondition.code)
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} catch (err) {
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tradingSystem.errors.push([announcement.announcementCondition.id, err.message])
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}
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if (conditionValue !== true) { canAnnounce = false }
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}
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if (canAnnounce === true) {
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let text = announcement.config.text
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if (announcement.formula !== undefined) {
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text = tradingSystem.formulas.get(announcement.formula.id)
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}
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if (TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.socialBots !== undefined) {
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TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.socialBots.announce(text)
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tradingSystem.announcements.push([announcement.id, text])
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} else {
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tradingSystem.errors.push([announcement.id, 'Could not announce because session does not have Social Bots.'])
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}
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}
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}
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}
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}
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}
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@@ -1,341 +0,0 @@
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exports.newSnapshots = function (processIndex) {
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/*
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This module encapsulates the snapshots functionality.
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*/
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const MODULE_NAME = 'Snapshots'
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let thisObject = {
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updateChart: updateChart,
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strategyEntry: strategyEntry,
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strategyExit: strategyExit,
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positionEntry: positionEntry,
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positionExit: positionExit,
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addCodeToSnapshot: addCodeToSnapshot,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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let tradingSystem
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let sessionParameters
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const SNAPSHOTS_FOLDER_NAME = 'Snapshots'
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/* Snapshots of Strategies and Positions */
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let snapshots = {
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headers: [],
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strategies: [],
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positions: []
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}
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let positionKeys = new Map() // This is to prevent adding the same indicator / variable to the output collection.
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let strategyKeys = new Map()
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let createHeaders = true // This is going to be true only once
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let createCloseHeaders = true // This is going to be true only once
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let closeValues
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let strategyValues
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let addToStrategyValues
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let positionValues
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let addToPositionValues
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let chart
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return thisObject
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function initialize() {
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tradingEngine = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
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tradingSystem = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
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sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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}
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function finalize() {
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writeSnapshotFiles()
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tradingEngine = undefined
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tradingSystem = undefined
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sessionParameters = undefined
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positionKeys = undefined
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strategyKeys = undefined
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chart = undefined
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}
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function updateChart(pChart) {
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chart = pChart
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}
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function strategyEntry() {
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/*
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We will record here a snapshot of all values used in conditions and formulas within the Trading System.
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If the strategy exists with a trade, this information will be added to the snapshots file.
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*/
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strategyKeys = new Map()
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strategyValues = []
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addToStrategyValues = true
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evalNode(tradingSystem)
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/* Turn off this */
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createHeaders = false
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addToStrategyValues = false
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}
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function strategyExit() {
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getResults(tradingEngine.current.strategy.begin.value, tradingEngine.current.strategy.end.value)
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let valuesArray = closeValues.concat(strategyValues)
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snapshots.strategies.push(valuesArray)
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}
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function positionEntry() {
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positionKeys = new Map()
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positionValues = []
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addToPositionValues = true
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evalNode(tradingSystem)
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/* Turn off this */
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createHeaders = false
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addToPositionValues = false
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}
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function positionExit() {
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getResults(tradingEngine.current.position.begin.value, tradingEngine.current.position.end.value)
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let valuesArray = closeValues.concat(positionValues)
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snapshots.positions.push(valuesArray)
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}
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function evalNode(node) {
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if (node === undefined) { return }
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/* Here we check if there is a codition to be evaluated */
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if (node.type === 'Condition') {
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/* We will eval this condition */
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evalCondition(node)
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}
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/* Here we check if there is a formula to be evaluated */
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if (node.type === 'Formula') {
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if (node.code !== undefined) {
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/* We will eval this formula */
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evalFormula(node)
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}
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}
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/* Now we go down through all this node children */
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let nodeDefinition = TS.projects.superalgos.globals.taskConstants.APP_SCHEMA_MAP.get(node.project + '-' + node.type)
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if (nodeDefinition === undefined) { return }
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if (nodeDefinition.properties !== undefined) {
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let previousPropertyName // Since there are cases where there are many properties with the same name,because they can hold nodes of different types but only one at the time, we have to avoind counting each property of those as individual children.
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for (let i = 0; i < nodeDefinition.properties.length; i++) {
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let property = nodeDefinition.properties[i]
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switch (property.type) {
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case 'node': {
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if (property.name !== previousPropertyName) {
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if (node[property.name] !== undefined) {
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evalNode(node[property.name])
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}
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previousPropertyName = property.name
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}
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break
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}
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case 'array': {
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if (node[property.name] !== undefined) {
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let nodePropertyArray = node[property.name]
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for (let m = 0; m < nodePropertyArray.length; m++) {
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evalNode(nodePropertyArray[m])
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}
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}
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break
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}
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}
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}
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}
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}
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function evalCondition(node) {
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/*
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The code can be at the condition node if it was done with the Conditions Editor, or it can also be
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at a Javascript Code node. If there is a Javascript object we will give it preference and take the code
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from there. Otherwise we will take the code from the Condition node.
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*/
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let nodeWithCode = node
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if (node.javascriptCode !== undefined) {
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if (node.javascriptCode.code !== undefined) {
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nodeWithCode = node.javascriptCode
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}
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}
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addCodeToSnapshot(nodeWithCode)
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}
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function evalFormula(node) {
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let nodeWithCode = node
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addCodeToSnapshot(nodeWithCode)
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}
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function addCodeToSnapshot(nodeWithCode) {
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if (nodeWithCode === undefined) { return }
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if (nodeWithCode.code === undefined) { return }
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try {
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let instructionsArray = nodeWithCode.code.split(' ')
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for (let i = 0; i < instructionsArray.length; i++) {
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let instruction = instructionsArray[i]
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instruction = instruction.replace('(', '')
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instruction = instruction.replace(')', '')
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instruction = instruction.replace(/</g, '')
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instruction = instruction.replace(/>/g, '')
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instruction = instruction.replace(/<=/g, '')
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instruction = instruction.replace(/>=/g, '')
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instruction = instruction.replace(/!=/g, '')
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instruction = instruction.replace(/!==/g, '')
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instruction = instruction.replace(/==/g, '')
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instruction = instruction.replace(/===/g, '')
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instruction = instruction.replace(/{/g, '')
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instruction = instruction.replace(/}/g, '')
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if (instruction.indexOf('chart') >= 0) {
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let parts = instruction.split('.')
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let timeFrame = parts[1]
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let product = parts[2]
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let property
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checkPrevious(3)
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function checkPrevious(index) {
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property = parts[index]
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if (property === 'previous') {
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product = product + '.previous'
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checkPrevious(index + 1)
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}
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}
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// Example: chart.at01hs.popularSMA.sma200 - chart.at01hs.popularSMA.sma100 < 10
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if (timeFrame !== 'atAnyTimeFrame') {
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timeFrame = timeFrame.substring(2, 4) + '-' + timeFrame.substring(4, 7)
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}
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let key = timeFrame + '-' + product + '-' + property
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let existingKey
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if (addToStrategyValues === true) {
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addValues(strategyKeys, strategyValues)
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}
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if (addToPositionValues === true) {
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addValues(positionKeys, positionValues)
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}
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function addValues(keys, values) {
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existingKey = keys.get(key)
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if (existingKey === undefined) { // means that at the current loop this property of this product was not used before.
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keys.set(key, key)
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if (createHeaders === true) {
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snapshots.headers.push(key)
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}
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try {
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let value = eval(instruction)
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values.push(value)
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} catch (err) {
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tradingSystem.errors.push([nodeWithCode.id, 'Instruction ' + instruction + ' evalueates with error ' + err.message])
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values.push(0)
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}
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}
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}
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}
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}
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} catch (err) {
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tradingSystem.errors.push([nodeWithCode.id, err.message])
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runSimulation -> addCodeToSnapshot -> nodeWithCode.code = ' + nodeWithCode.code)
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, '[ERROR] runSimulation -> addCodeToSnapshot -> err = ' + err.stack)
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}
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}
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function getResults(openDatetime, closeDatetime) {
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let closeHeaders = ['Trade Number', 'Open Datetime', 'Close Datetime', 'Strategy Name', 'Trigger On Situation', 'Take Position Situation', 'Result In Base Asset', 'Result In Quoted Asset', 'ROI in Base Asset', 'ROI in Quoted Asset', 'Exit Type']
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closeValues = [
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tradingEngine.current.episode.episodeCounters.positions.value, // Position Number
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(new Date(openDatetime)).toISOString(), // Open Datetime
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(new Date(closeDatetime)).toISOString(), // Open Datetime
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tradingEngine.current.strategy.strategyName.value, // Strategy Name
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tradingEngine.current.strategy.situationName.value, // Trigger On Situation
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tradingEngine.current.position.situationName.value, // Take Position Situation
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tradingEngine.current.position.positionBaseAsset.hitFail.value, // Result in Base Asset
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tradingEngine.current.position.positionQuotedAsset.hitFail.value, // Result in Base Asset
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tradingEngine.current.position.positionBaseAsset.ROI.value, // ROI in Base Asseet
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tradingEngine.current.position.positionQuotedAsset.ROI.value, // ROI in Quoted Asset
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tradingEngine.current.position.exitType.value // Exit Type
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]
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if (createCloseHeaders === true) {
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snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshots.headers)))
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createCloseHeaders = false
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}
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}
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function writeSnapshotFiles() {
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if (sessionParameters.snapshots !== undefined) {
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if (sessionParameters.snapshots.config.strategy === true) {
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writeSnapshotFile(snapshots.strategies, 'Strategies')
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}
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}
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if (sessionParameters.snapshots !== undefined) {
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if (sessionParameters.snapshots.config.strategy === true) {
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writeSnapshotFile(snapshots.positions, 'Positions')
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}
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}
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}
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function writeSnapshotFile(snapshotArray, pFileName) {
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try {
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let fileStorage = TS.projects.superalgos.taskModules.fileStorage.newFileStorage(processIndex);
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let fileContent = "";
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let separator = "\r\n";
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parseRecord(snapshots.headers)
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for (let i = 0; i < snapshotArray.length; i++) {
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let record = snapshotArray[i];
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parseRecord(record)
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}
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function parseRecord(record) {
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for (let j = 0; j < record.length; j++) {
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let property = record[j]
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fileContent = fileContent + '' + property
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if (j !== record.length - 1) {
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fileContent = fileContent + ","
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}
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}
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fileContent = fileContent + separator
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}
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fileContent = "" + fileContent + "";
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let fileName = pFileName + '.csv';
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let filePath = TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).FILE_PATH_ROOT + "/Output/" + TS.projects.superalgos.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_FOLDER_NAME + "/" + SNAPSHOTS_FOLDER_NAME;
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filePath += '/' + fileName
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fileStorage.createTextFile(filePath, fileContent + '\n', onFileCreated);
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function onFileCreated(err) {
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if (err.result !== TS.projects.superalgos.globals.standardResponses.DEFAULT_OK_RESPONSE.result) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] writeSnapshotFile -> onFileCreated -> err = " + err.stack);
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] writeSnapshotFile -> onFileCreated -> filePath = " + filePath);
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] writeSnapshotFile -> onFileCreated -> market = " + TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.baseAsset.referenceParent.config.codeName + "_" + TS.projects.superalgos.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.quotedAsset.referenceParent.config.codeName);
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}
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}
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}
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catch (err) {
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TS.projects.superalgos.globals.loggerVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).BOT_MAIN_LOOP_LOGGER_MODULE.write(MODULE_NAME, "[ERROR] writeSnapshotFile -> err = " + err.stack);
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}
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}
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}
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@@ -19,8 +19,7 @@ exports.newTradingOrders = function (processIndex, tradingEngineModule) {
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const EXCHANGE_API_MODULE = require('./ExchangeAPI.js')
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let exchangeAPIModule = EXCHANGE_API_MODULE.newExchangeAPI(processIndex)
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const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
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let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(processIndex)
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let announcementsModuleObject = TS.projects.superalgos.botModules.announcements.newSuperalgosBotModulesAnnouncements(processIndex)
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return thisObject
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@@ -30,7 +29,7 @@ exports.newTradingOrders = function (processIndex, tradingEngineModule) {
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sessionParameters = TS.projects.superalgos.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
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exchangeAPIModule.initialize()
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announcementsModule.initialize()
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announcementsModuleObject.initialize()
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}
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function finalize() {
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@@ -41,8 +40,8 @@ exports.newTradingOrders = function (processIndex, tradingEngineModule) {
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exchangeAPIModule.finalize()
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exchangeAPIModule = undefined
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announcementsModule.finalize()
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announcementsModule = undefined
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announcementsModuleObject.finalize()
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announcementsModuleObject = undefined
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}
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function mantain() {
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@@ -1012,7 +1011,7 @@ exports.newTradingOrders = function (processIndex, tradingEngineModule) {
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tradingSystem.highlights.push(executionAlgorithm.id)
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tradingSystem.highlights.push(executionNode.id)
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announcementsModule.makeAnnoucements(event)
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announcementsModuleObject.makeAnnoucements(event)
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return situation.name // if the event is triggered, we return the name of the situation that passed
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}
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}
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Reference in new issue
Block a user