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Ready implementation to trade live

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This commit is contained in:
Luis Fernando Molina committed 2020-02-07 11:31:48 +01:00
1 parent 4b40d87925
commit a8950c6b4c
2 files changed
+65 -69
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Session.js
+2 -2
View File
@@ -255,7 +255,7 @@
code = tradingSystem.parameters.baseAsset.code
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
if (code.initialBalance !== undefined) {
bot.VALUES_TO_USE.initialBalanceA = code.initialBalance;
bot.VALUES_TO_USE.initialBalanceB = 0
@@ -366,7 +366,7 @@
code = bot.SESSION.parameters.baseAsset.code
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
if (code.initialBalance !== undefined) {
bot.VALUES_TO_USE.initialBalanceA = code.initialBalance;
bot.VALUES_TO_USE.initialBalanceB = 0
TradingSimulation.js
+63 -67
View File
@@ -704,7 +704,7 @@
if (openStage !== undefined) {
/* Default Values*/
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
positionSize = balanceBaseAsset;
positionRate = candle.close;
} else {
@@ -727,13 +727,13 @@
initialDefinition.positionSize.formula.error = err.message
}
if (isNaN(positionSize)) {
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
positionSize = balanceBaseAsset;
} else {
positionSize = balanceQuotedAsset;
}
} else {
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
if (positionSize > balanceBaseAsset) { positionSize = balanceBaseAsset }
} else {
if (positionSize > balanceQuotedAsset) { positionSize = balanceQuotedAsset }
@@ -754,7 +754,7 @@
initialDefinition.positionRate.formula.error = err.message
}
if (isNaN(positionRate)) {
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
positionRate = candle.close;
} else {
positionRate = candle.close;
@@ -1091,7 +1091,7 @@
let maximumBalance
let balance
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
balance = balanceBaseAsset
minimumBalance = bot.VALUES_TO_USE.minimumBalanceA
maximumBalance = bot.VALUES_TO_USE.maximumBalanceA
@@ -1673,7 +1673,7 @@
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
if ((bot.VALUES_TO_USE.baseAsset === 'BTC' && candle.max >= stopLoss) || (bot.VALUES_TO_USE.baseAsset !== 'BTC' && candle.min <= stopLoss)) {
if ((bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset && candle.max >= stopLoss) || (bot.VALUES_TO_USE.baseAsset !== bot.market.baseAsset && candle.min <= stopLoss)) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Stop Loss was hit."); }
/*
@@ -1683,7 +1683,7 @@
If we take the stop loss value at those situation would be a huge distortion of facts.
*/
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
if (stopLoss < candle.min) {
stopLoss = candle.min
if (processingDailyFiles) {
@@ -1708,7 +1708,7 @@
/* Apply the Slippage */
let slippageAmount = slippedStopLoss * bot.VALUES_TO_USE.slippage.stopLoss / 100
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
slippedStopLoss = slippedStopLoss + slippageAmount
} else {
slippedStopLoss = slippedStopLoss - slippageAmount
@@ -1718,7 +1718,7 @@
let feePaid = 0
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
strategy.positionSize = balanceQuotedAsset / finalStopLoss;
strategy.positionRate = finalStopLoss;
@@ -1770,7 +1770,7 @@
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
if ((bot.VALUES_TO_USE.baseAsset === 'BTC' && candle.min <= takeProfit) || (bot.VALUES_TO_USE.baseAsset !== 'BTC' && candle.max >= takeProfit)) {
if ((bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset && candle.min <= takeProfit) || (bot.VALUES_TO_USE.baseAsset !== bot.market.baseAsset && candle.max >= takeProfit)) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> Take Profit was hit."); }
/*
@@ -1780,7 +1780,7 @@
If we take the stop loss value at those situation would be a huge distortion of facts.
*/
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
if (takeProfit > candle.max) {
takeProfit = candle.max
if (processingDailyFiles) {
@@ -1804,7 +1804,7 @@
/* Apply the Slippage */
let slippageAmount = slippedTakeProfit * bot.VALUES_TO_USE.slippage.takeProfit / 100
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
slippedTakeProfit = slippedTakeProfit + slippageAmount
} else {
slippedTakeProfit = slippedTakeProfit - slippageAmount
@@ -1814,7 +1814,7 @@
let feePaid = 0
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
strategy.positionSize = balanceQuotedAsset / finalTakeProfit;
strategy.positionRate = finalTakeProfit;
@@ -1893,7 +1893,7 @@
/* We take what was calculated at the formula and apply the slippage. */
let slippageAmount = tradePositionRate * bot.VALUES_TO_USE.slippage.positionRate / 100
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
tradePositionRate = tradePositionRate - slippageAmount
} else {
tradePositionRate = tradePositionRate + slippageAmount
@@ -2027,34 +2027,28 @@
}
}
let openPositionRate
let orderPrice
let amountA
let amountB
let positionDirection
let availableBalance = exchangeAPI.getAvailableBalance()
let orderSide
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
positionDirection = "sell"
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
orderSide = "sell"
openPositionRate = tradePositionRate - 100 // 100 is Provisional since we do have management of orders yet
orderPrice = tradePositionRate - 100 // This is going to be ingnored at the Exchange API for now since we only put market orders.
amountA = tradePositionSize * openPositionRate
amountA = tradePositionSize * orderPrice
amountB = tradePositionSize
if (amountB > availableBalance.quotedAsset) { // The exchangeAPI know what fees were paid.
amountB = availableBalance.quotedAsset
}
} else {
positionDirection = "buy"
orderSide = "buy"
openPositionRate = tradePositionRate + 100 // 100 is Provisional since we do have management of orders yet
orderPrice = tradePositionRate // This is going to be ingnored at the Exchange API for now since we only put market orders.
amountA = tradePositionSize
amountB = tradePositionSize / openPositionRate
amountB = tradePositionSize / orderPrice
if (amountA > availableBalance.baseAsset) { // The exchangeAPI know what fees were paid.
amountA = availableBalance.baseAsset
}
}
interExecutionMemory.executionContext = {
@@ -2062,46 +2056,47 @@
periods: periods,
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to put order."); }
exchangeAPI.createOrder(positionDirection, openPositionRate, amountA, amountB, onOrderPut)
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to create order."); }
exchangeAPI.createOrder(bot.market, orderSide, orderPrice, amountA, amountB, onOrderCreated)
function onOrderPut(err) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> Entering function."); }
function onOrderCreated(err, order) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Entering function."); }
try {
switch (err.result) {
case global.DEFAULT_OK_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> DEFAULT_OK_RESPONSE "); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE "); }
interExecutionMemory.executionContext = {
status: "In a Position",
periods: periods,
amountA: amountA,
amountB: amountB
amountB: amountB,
orderId: order.id
}
takePositionAtSimulation()
return;
}
case global.DEFAULT_FAIL_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> DEFAULT_FAIL_RESPONSE "); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> Message = " + err.message); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_FAIL_RESPONSE "); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Message = " + err.message); }
strategy.openStage.openExecution.error = err.message
afterLoop()
return;
}
case global.DEFAULT_RETRY_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> DEFAULT_RETRY_RESPONSE "); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> Message = " + err.message); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_RETRY_RESPONSE "); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Message = " + err.message); }
strategy.openStage.openExecution.error = err.message
afterLoop()
return;
}
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> Unexpected Response -> Message = " + err.message); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Unexpected Response -> Message = " + err.message); }
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return
} catch (err) {
logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return
}
@@ -2132,7 +2127,7 @@
let feePaid = 0
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
feePaid = tradePositionSize * tradePositionRate * bot.VALUES_TO_USE.feeStructure.taker / 100
@@ -2251,27 +2246,27 @@
}
}
let closePositionRate
let orderPrice
let amountA
let amountB
let positionDirection
let orderSide
let availableBalance = exchangeAPI.getAvailableBalance()
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
positionDirection = "buy"
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
orderSide = "buy"
closePositionRate = ticker.last + 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
orderPrice = ticker.last + 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
amountA = availableBalance.baseAsset
amountB = availableBalance.baseAsset / closePositionRate
amountA = balanceBaseAsset
amountB = balanceBaseAsset / orderPrice
} else {
positionDirection = "sell"
orderSide = "sell"
closePositionRate = ticker.last - 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
orderPrice = ticker.last - 100; // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
amountA = availableBalance.quotedAsset * closePositionRate
amountB = availableBalance.quotedAsset
amountA = balanceQuotedAsset * orderPrice
amountB = balanceQuotedAsset
}
@@ -2281,44 +2276,45 @@
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange."); }
exchangeAPI.createOrder(positionDirection, closePositionRate, amountA, amountB, onOrderPut)
exchangeAPI.createOrder(bot.market, orderSide, orderPrice, amountA, amountB, onOrderCreated)
function onOrderPut(err) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderPut -> Entering function."); }
function onOrderCreated(err) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> Entering function."); }
try {
switch (err.result) {
case global.DEFAULT_OK_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderPut -> DEFAULT_OK_RESPONSE "); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE "); }
interExecutionMemory.executionContext = {
status: "Position Closed",
periods: periods,
amountA: amountA,
amountB: amountB
amountB: amountB,
orderId: order.id
}
closePositionAtSimulation()
return;
}
case global.DEFAULT_FAIL_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderPut -> DEFAULT_FAIL_RESPONSE "); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> DEFAULT_FAIL_RESPONSE "); }
/* We will assume that the problem is temporary, and expect that it will work at the next execution.*/
strategy.closeStage.closeExecution.error = err.message
afterLoop()
return;
}
case global.DEFAULT_RETRY_RESPONSE.result: {
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderPut -> DEFAULT_RETRY_RESPONSE "); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_RETRY_RESPONSE "); }
strategy.closeStage.closeExecution.error = err.message
afterLoop()
return;
}
}
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putClosingOrder -> onOrderPut -> Unexpected Response -> Message = " + err.message); }
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> Unexpected Response -> Message = " + err.message); }
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return
} catch (err) {
logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putClosingOrder -> onOrderPut -> err = " + err.stack);
logger.write(MODULE_NAME, "[ERROR] runSimulation -> loop -> putClosingOrder -> onOrderCreated -> err = " + err.stack);
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
return
}
@@ -2336,7 +2332,7 @@
}
}
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
lastTradeProfitLoss = balanceBaseAsset - previousBalanceBaseAsset;
lastTradeROI = lastTradeProfitLoss * 100 / tradePositionSize;
if (isNaN(lastTradeROI)) { lastTradeROI = 0; }
@@ -2383,7 +2379,7 @@
}
}
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
ROI = (bot.VALUES_TO_USE.initialBalanceA + profit) / bot.VALUES_TO_USE.initialBalanceA - 1;
hitRatio = hits / roundtrips;
anualizedRateOfReturn = ROI / days * 365;
@@ -2649,7 +2645,7 @@
currentTrade.endRate = candle.close
/* Here we will calculate the ongoing ROI */
if (bot.VALUES_TO_USE.baseAsset === 'BTC') {
if (bot.VALUES_TO_USE.baseAsset === bot.market.baseAsset) {
currentTrade.lastTradeROI = (tradePositionRate - candle.close) / tradePositionRate * 100
} else {
currentTrade.lastTradeROI = (candle.close - tradePositionRate) / tradePositionRate * 100