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Adding version without SL and second channel validation

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This commit is contained in:
Matias Benitez committed 2018-07-27 07:20:18 -03:00
1 parent b4907f14ea
commit a41763b630
1 file changed
+69 -189
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Trading-Process/User.Bot.js
+69 -189
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@@ -36,17 +36,17 @@
function start(callBackFunction) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> Entering function."); }
const market = global.MARKET;
const LAST_BUY_RATE_KEY = "AAVikings" + "-" + "AAArtudito" + "-" + "Trading-Process" + "-" + "lastBuyRate";
const CHANNEL_DOWN = -1;
const CHANNEL_UP = 1;
const NO_CHANNEL = 0;
let market = global.MARKET;
let periodName = "30-min";
let stopLossEnabled = true;
let stopLossPorcentage = 0.02;
let positions = assistant.getPositions();
let lastBuyRate = assistant.remindMeOf(LAST_BUY_RATE_KEY);
if (lastBuyRate === undefined) {
let currentRate = assistant.getMarketRate();
let currentRate = assistant.getTicker().bid;
lastBuyRate = currentRate;
assistant.rememberThis(LAST_BUY_RATE_KEY, lastBuyRate);
}
@@ -97,8 +97,7 @@
callBack(global.DEFAULT_FAIL_RESPONSE);
} else {
if (channelTilt == 1) {
firstChannelTilt = 1;
getSecondChannelTilt(secondTiltCheck);
createBuyPosition(callBack);
} else if (channelTilt == -1) {
firstChannelTilt = -1;
getSecondChannelTilt(secondTiltCheck);
@@ -122,9 +121,7 @@
logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> secondTiltCheck -> err = " + err.message);
callBack(global.DEFAULT_FAIL_RESPONSE);
} else {
if (firstChannelTilt == 1 && secondChannelTilt == 1) {
createBuyPosition(callBack);
}else if (firstChannelTilt == -1 && secondChannelTilt == -1) {
if (firstChannelTilt == -1 && secondChannelTilt == -1) {
createSellPosition(callBack);
} else {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> secondTiltCheck -> Nothing to do, there isn't a buy or sell oportunity."); }
@@ -142,9 +139,6 @@
function getChannelTilt(callBack) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> getChannelTilt -> Entering function."); }
const CHANNEL_DOWN = -1;
const CHANNEL_UP = 1;
const NO_CHANNEL = 0;
let lrcPoint, previousLRCPoint;
let queryDate = new Date(bot.processDatetime);
@@ -178,7 +172,7 @@
max: lrcPointsFile[previous][4]
};
applyBotRules();
applyBotRules(lrcPoint, previousLRCPoint, callBack);
} else {
queryDate.setDate(queryDate.getDate() - 1);
@@ -188,7 +182,7 @@
}
}
logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> getChannelTilt -> onLRCPointsFileReceived. The expected LRC Point was not found: "+bot.processDatetime.valueOf());
logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> getChannelTilt -> onLRCPointsFileReceived. The expected LRC Point was not found: " + bot.processDatetime.valueOf());
callBack(global.DEFAULT_FAIL_RESPONSE);
} else {
// Running live we will process last available LRCPoint only if it's delayed 25 minutes top
@@ -212,7 +206,7 @@
max: lrcPointsFile[previous][4]
};
applyBotRules();
applyBotRules(lrcPoint, previousLRCPoint, callBack);
} else {
queryDate.setDate(queryDate.getDate() - 1);
@@ -230,18 +224,6 @@
}
}
function isExecutionToday() {
let localDate = new Date();
let today = new Date(Date.UTC(
localDate.getUTCFullYear(),
localDate.getUTCMonth(),
localDate.getUTCDate()));
return (today.getUTCFullYear() === bot.processDatetime.getUTCFullYear()
&& today.getUTCMonth() === bot.processDatetime.getUTCMonth()
&& today.getUTCDate() === bot.processDatetime.getUTCDate());
}
function onPreviousLRCPointsFileReceived(err, lrcPointsFile) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> onLRCPointsFileReceived."); }
@@ -254,106 +236,7 @@
max: lrcPointsFile[previous][4]
};
applyBotRules();
}
function applyBotRules() {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> LRC Point Found."); }
let channelTilt = NO_CHANNEL;
let ruleApplied = "";
if (lrcPoint.max < lrcPoint.mid && lrcPoint.min > lrcPoint.mid && lrcPoint.mid < lrcPoint.min) {
if (lrcPoint.min > previousLRCPoint.min && lrcPoint.mid > previousLRCPoint.mid && lrcPoint.max > previousLRCPoint.max) {
// The channel points UP
channelTilt = CHANNEL_UP;
ruleApplied += "Rule_1.";
}
}
if (lrcPoint.min < lrcPoint.mid && lrcPoint.max > lrcPoint.mid && lrcPoint.mid < lrcPoint.max) {
if (lrcPoint.min < previousLRCPoint.min && lrcPoint.mid < previousLRCPoint.mid && lrcPoint.max < previousLRCPoint.max) {
// The channel points DOWN
channelTilt = CHANNEL_DOWN;
ruleApplied += "Rule_2.";
}
}
if (lrcPoint.min < previousLRCPoint.min && lrcPoint.mid <= previousLRCPoint.mid) {
// 15 AND 30 changed direction from up to down
if(checkToSellWithStopLoss()) {
channelTilt = CHANNEL_DOWN;
ruleApplied += "Rule_3a.";
}
}
if (lrcPoint.min > previousLRCPoint.min && lrcPoint.mid >= previousLRCPoint.mid) {
// 15 AND 30 changed direction from down to up
channelTilt = CHANNEL_UP;
ruleApplied += "Rule_3b.";
}
let logMessage = bot.processDatetime.toISOString() + ". First Rule: " + ruleApplied + ". Tilt: " + channelTilt + " (" + Number(lrcPoint.min).toLocaleString() + "|" + Number(lrcPoint.mid).toLocaleString() + "|" + Number(lrcPoint.max).toLocaleString() + ")";
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> Results: " + logMessage); }
callBack(global.DEFAULT_OK_RESPONSE, channelTilt);
}
function checkToSellWithStopLoss() {
let allowSell = true;
let assetBBalance = assistant.getAvailableBalance().assetB;
let currentRate = assistant.getMarketRate();
let amountB = assistant.getAvailableBalance().assetB;
let amountA = amountB * currentRate;
if (stopLossEnabled) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> manageStopLossConfiguration -> Stop Loss Enabled, checking to sell."); }
// Get the current investment value
let investment = 0;
if (assistant.getAvailableBalance() !== undefined) {
investment = assistant.getAvailableBalance().assetB * lastBuyRate;
}
// Calculate maximum loss setup
let currentLoss = amountA - investment;
let stopLossValue = investment * stopLossPorcentage;
if (currentLoss > 0) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> manageStopLossConfiguration -> No loss, we can sell."); }
} else if (assetBBalance > 0) {
if (Math.abs(currentLoss) > stopLossValue) {
let message = "Sell to avoid loss more than " + Number(stopLossPorcentage * 100).toLocaleString() + "% of our initial investment. ";
message += "Combined ROI on current execution: ";
if (assistant.getCombinedProfits().assetA > 0) {
message += Number(assistant.getCombinedProfits().assetA).toLocaleString() + "%. ";
} else {
message += Number(assistant.getCombinedProfits().assetB).toLocaleString() + "%. ";
}
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> manageStopLossConfiguration -> Stop loss, sell: " + message); }
assistant.sendMessage(3, "Stop Loss", message);
} else {
let currentRisk = currentLoss / investment;
let message = "Not sell now. Risking " + Number(currentRisk * 100).toLocaleString() + "% of our initial investment";
message += ". Last Buy: $" + Number(lastBuyRate).toLocaleString();
message += ". Not selling at: $" + Number(currentRate).toLocaleString();
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> manageStopLossConfiguration -> Stop loss, not sell: " + message); }
assistant.sendMessage(3, "Stop Loss", message);
allowSell = false;
}
}
}
return allowSell;
applyBotRules(lrcPoint, previousLRCPoint, callBack);
}
}
@@ -376,7 +259,7 @@
let lastAvailableDateTime = lrcPointsFile[lastIndexLrcPointsFile][0];
if (bot.processDatetime.valueOf() <= lastAvailableDateTime || !isExecutionToday()) {
for (let i = lrcPointsFile.length-1; i >= 0; i--) {
for (let i = lrcPointsFile.length - 1; i >= 0; i--) {
if (bot.processDatetime.valueOf() >= lrcPointsFile[i][0] && bot.processDatetime.valueOf() < lrcPointsFile[i][1]) {
lrcPoint = {
begin: lrcPointsFile[i][0],
@@ -396,7 +279,7 @@
max: lrcPointsFile[previous][4]
};
applyBotRules();
applyBotRules(lrcPoint, previousLRCPoint, callBack);
} else {
logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> getSecondChannelTilt -> onLRCPointsFileReceived. The expected previous LRC Point was not found.");
@@ -405,7 +288,7 @@
}
}
logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> getSecondChannelTilt -> onLRCPointsFileReceived. The expected LRC Point was not found." + bot.processDatetime.valueOf() +". "+JSON.stringify(lrcPointsFile));
logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> getSecondChannelTilt -> onLRCPointsFileReceived. The expected LRC Point was not found." + bot.processDatetime.valueOf() + ". " + JSON.stringify(lrcPointsFile));
callBack(global.DEFAULT_FAIL_RESPONSE);
} else {
// Running live we will process last available LRCPoint only if it's delayed 25 minutes top
@@ -429,7 +312,7 @@
max: lrcPointsFile[previous][4]
};
applyBotRules();
applyBotRules(lrcPoint, previousLRCPoint, callBack);
} else {
logger.write(MODULE_NAME, "[ERROR] start -> businessLogic -> getSecondChannelTilt -> onLRCPointsFileReceived. The expected previous LRC Point was not found.");
@@ -446,18 +329,6 @@
}
}
function isExecutionToday() {
let localDate = new Date();
let today = new Date(Date.UTC(
localDate.getUTCFullYear(),
localDate.getUTCMonth(),
localDate.getUTCDate()));
return (today.getUTCFullYear() === bot.processDatetime.getUTCFullYear()
&& today.getUTCMonth() === bot.processDatetime.getUTCMonth()
&& today.getUTCDate() === bot.processDatetime.getUTCDate());
}
function onPreviousLRCPointsFileReceived(err, lrcPointsFile) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getSecondChannelTilt -> onLRCPointsFileReceived."); }
@@ -470,62 +341,61 @@
max: lrcPointsFile[previous][4]
};
applyBotRules();
applyBotRules(lrcPoint, previousLRCPoint, callBack);
}
}
function applyBotRules() {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getSecondChannelTilt -> applyBotRules -> LRC Point Found."); }
function applyBotRules(lrcPoint, previousLRCPoint, callBack) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> applyBotRules -> Entering Function."); }
let channelTilt = NO_CHANNEL;
let ruleApplied = "";
let channelTilt = NO_CHANNEL;
let ruleApplied = "";
if (lrcPoint.max < lrcPoint.mid && lrcPoint.min > lrcPoint.mid && lrcPoint.mid < lrcPoint.min) {
if (lrcPoint.min > previousLRCPoint.min && lrcPoint.mid > previousLRCPoint.mid && lrcPoint.max > previousLRCPoint.max) {
// The channel points UP
channelTilt = CHANNEL_UP;
ruleApplied += "Rule_1.";
}
}
if (lrcPoint.min < lrcPoint.mid && lrcPoint.max > lrcPoint.mid && lrcPoint.mid < lrcPoint.max) {
if (lrcPoint.min < previousLRCPoint.min && lrcPoint.mid < previousLRCPoint.mid && lrcPoint.max < previousLRCPoint.max) {
// The channel points DOWN
channelTilt = CHANNEL_DOWN;
ruleApplied += "Rule_2.";
}
}
if (lrcPoint.min < previousLRCPoint.min && lrcPoint.mid <= previousLRCPoint.mid) {
// 15 AND 30 changed direction from up to down
channelTilt = CHANNEL_DOWN;
ruleApplied += "Rule_3a.";
}
if (lrcPoint.min > previousLRCPoint.min && lrcPoint.mid >= previousLRCPoint.mid) {
// 15 AND 30 changed direction from down to up
if (lrcPoint.max < lrcPoint.mid && lrcPoint.min > lrcPoint.mid && lrcPoint.mid < lrcPoint.min) {
if (lrcPoint.min > previousLRCPoint.min && lrcPoint.mid > previousLRCPoint.mid && lrcPoint.max > previousLRCPoint.max) {
// The channel points UP
channelTilt = CHANNEL_UP;
ruleApplied += "Rule_3b.";
ruleApplied += "Rule_1.";
}
let logMessage = bot.processDatetime.toISOString() + ". Second Rule: " + ruleApplied + ". Tilt: " + channelTilt + " (" + Number(lrcPoint.min).toLocaleString() + "|" + Number(lrcPoint.mid).toLocaleString() + "|" + Number(lrcPoint.max).toLocaleString() + ")";
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getSecondChannelTilt -> applyBotRules -> Results: " + logMessage); }
callBack(global.DEFAULT_OK_RESPONSE, channelTilt);
}
if (lrcPoint.min < lrcPoint.mid && lrcPoint.max > lrcPoint.mid && lrcPoint.mid < lrcPoint.max) {
if (lrcPoint.min < previousLRCPoint.min && lrcPoint.mid < previousLRCPoint.mid && lrcPoint.max < previousLRCPoint.max) {
// The channel points DOWN
channelTilt = CHANNEL_DOWN;
ruleApplied += "Rule_2.";
}
}
if (lrcPoint.min < previousLRCPoint.min && lrcPoint.mid <= previousLRCPoint.mid) {
// 15 AND 30 changed direction from up to down
channelTilt = CHANNEL_DOWN;
ruleApplied += "Rule_3a.";
}
if (lrcPoint.min > previousLRCPoint.min && lrcPoint.mid >= previousLRCPoint.mid) {
// 15 AND 30 changed direction from down to up
channelTilt = CHANNEL_UP;
ruleApplied += "Rule_3b.";
}
let logMessage = bot.processDatetime.toISOString() + ". Rule: " + ruleApplied + ". Tilt: " + channelTilt + " (" + Number(lrcPoint.min).toLocaleString() + "|" + Number(lrcPoint.mid).toLocaleString() + "|" + Number(lrcPoint.max).toLocaleString() + ")";
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> getChannelTilt -> applyBotRules -> Results: " + logMessage); }
callBack(global.DEFAULT_OK_RESPONSE, channelTilt);
}
function getLRCPointsFile(dateTime, callback) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> getLRCPointsFile -> Entering function."); }
let datePath = dateTime.getUTCFullYear() + "/" + pad(dateTime.getUTCMonth() + 1, 2) + "/" + pad(dateTime.getUTCDate(), 2);
let filePath = "LRC-Points/Multi-Period-Daily/" + periodName + "/" + datePath;
let filePath = "LRC-Points/Multi-Period-Daily/30-min/" + datePath;
let fileName = market.assetA + '_' + market.assetB + ".json"
if (bot.startMode === "Backtest" && bot.botCache.has(filePath)) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> getLRCPointsFile -> Getting the file from local cache."); }
cleanUpCache(bot.botCache, "LRC-Points/Multi-Period-Daily/" + periodName , dateTime);
cleanUpCache(bot.botCache, "LRC-Points/Multi-Period-Daily/30-min", dateTime);
callback(global.DEFAULT_OK_RESPONSE, bot.botCache.get(filePath));
} else {
@@ -545,7 +415,7 @@
return;
}
}
function cleanUpCache(fileCache, path, dateTimeCacheFile) {
let date = new Date(dateTimeCacheFile);
date.setDate(date.getDate() - 2);
@@ -564,7 +434,7 @@
function getLRCPointsMarketFile(callback) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] getLRCPointsMarketFile -> Entering function."); }
let filePath = "LRC-Points/Multi-Period-Market/01-hs";
let filePath = "LRC-Points/Multi-Period-Market/02-hs";
let fileName = market.assetA + '_' + market.assetB + ".json"
if (bot.startMode === "Backtest" && bot.botCache.has(filePath)) {
@@ -576,6 +446,7 @@
gaussStorage.getTextFile(filePath, fileName, onFileReceived);
}
function onFileReceived(err, text) {
if (err.result === global.DEFAULT_OK_RESPONSE.result) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] getLRCPointsMarketFile -> onFileReceived > Entering Function."); }
@@ -594,9 +465,8 @@
function createBuyPosition(callBack) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> createBuyPosition -> Entering function."); }
let positions = assistant.getPositions();
let assetABalance = assistant.getAvailableBalance().assetA;
let currentRate = assistant.getMarketRate();
let currentRate = assistant.getTicker().bid;
let amountA = assistant.getAvailableBalance().assetA;
let amountB = Number((amountA / currentRate).toFixed(8));
@@ -645,9 +515,8 @@
function createSellPosition(callBack) {
if (LOG_INFO === true) { logger.write(MODULE_NAME, "[INFO] start -> businessLogic -> createSellPosition -> Entering function."); }
let positions = assistant.getPositions();
let assetBBalance = assistant.getAvailableBalance().assetB;
let currentRate = assistant.getMarketRate();
let currentRate = assistant.getTicker().bid;
let amountB = assistant.getAvailableBalance().assetB;
let amountA = amountB * currentRate;
@@ -692,5 +561,16 @@
return str.length < max ? pad("0" + str, max) : str;
}
function isExecutionToday() {
let localDate = new Date();
let today = new Date(Date.UTC(
localDate.getUTCFullYear(),
localDate.getUTCMonth(),
localDate.getUTCDate()));
return (today.getUTCFullYear() === bot.processDatetime.getUTCFullYear()
&& today.getUTCMonth() === bot.processDatetime.getUTCMonth()
&& today.getUTCDate() === bot.processDatetime.getUTCDate());
}
}
};