Data Dependencies Added to Config
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Luis Fernando Molina committed
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@@ -359,7 +359,7 @@
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conditions: [
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{
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name: "Sub-Channel going up",
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code: "subChannel.direction === 'Up'"
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code: "subChannel.direction === 'up'"
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},
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{
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name: "Sub-Channel Side|Gentle|Medium",
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+649
-196
@@ -64,14 +64,6 @@
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}
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}
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/*
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This process is going to do the following:
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Read the bands from Chris and produce daily files with bollinger trades.
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*/
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function start(callBackFunction) {
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try {
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@@ -317,229 +309,615 @@
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const timePeriod = global.dailyFilePeriods[n][1];
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let bands = []; // Here we will put all the bands of the 2 files read.
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let marketFile;
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let previousDayFile;
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let processDayFile;
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let LRCMap = new Map();
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let percentageBandwidthMap = new Map();
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let bollingerBandsMap = new Map();
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let bollingerChannelsArray = [];
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let bollingerSubChannelsArray = [];
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getPreviousDayFile();
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let candles = [];
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let recordsArray = [];
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let conditionsArray = [];
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let simulationLogic = {};
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function getPreviousDayFile() {
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nextLRC();
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function nextLRC() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getPreviousDayFile -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextLRC -> Entering function."); }
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let dateForPath = previousDay.getUTCFullYear() + '/' + utilities.pad(previousDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(previousDay.getUTCDate(), 2);
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let dateForPath = fileDate.getUTCFullYear() + '/' + utilities.pad(fileDate.getUTCMonth() + 1, 2) + '/' + utilities.pad(fileDate.getUTCDate(), 2);
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let fileName = market.assetA + '_' + market.assetB + ".json"
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let filePathRoot = bot.devTeam + "/" + "AAChris" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + CANDLES_FOLDER_NAME + '/' + "Multi-Period-Daily" + "/" + timePeriod + "/" + dateForPath;
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let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + CANDLE_STAIRS_FOLDER_NAME + '/' + "Multi-Period-Daily" + "/" + timePeriod + "/" + dateForPath;
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chrisStorage.getTextFile(filePath, fileName, onCurrentDayFileReceived, true);
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function onCurrentDayFileReceived(err, text) {
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let fileName = market.assetA + '_' + market.assetB + ".json";
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let filePathRoot = "AAVikings" + "/" + "AAGauss" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + LRC_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
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gaussStorage.getTextFile(filePath, fileName, onFileReceived, true);
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function onFileReceived(err, text) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> text = " + text); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextLRC -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextLRC -> onFileReceived -> text = " + text); }
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previousDayFile = JSON.parse(text);
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getProcessDayFile()
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> market = " + market.assetA + '_' + market.assetB);
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getPreviousDayFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function getProcessDayFile() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getProcessDayFile -> Entering function."); }
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let dateForPath = processDate.getUTCFullYear() + '/' + utilities.pad(processDate.getUTCMonth() + 1, 2) + '/' + utilities.pad(processDate.getUTCDate(), 2);
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let fileName = market.assetA + '_' + market.assetB + ".json"
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let filePathRoot = bot.devTeam + "/" + "AAChris" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + CANDLES_FOLDER_NAME + '/' + "Multi-Period-Daily" + "/" + timePeriod + "/" + dateForPath;
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chrisStorage.getTextFile(filePath, fileName, onCurrentDayFileReceived, true);
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function onCurrentDayFileReceived(err, text) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> text = " + text); }
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processDayFile = JSON.parse(text);
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buildTrades();
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} catch (err) {
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if (processDate.valueOf() > contextVariables.maxTradeFile.valueOf()) {
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processDayFile = []; // we are past the head of the market, then no worries if this file is non existent.
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buildTrades();
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} else {
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> err = " + err.message);
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> filePath = " + filePath);
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> market = " + market.assetA + '_' + market.assetB);
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callBackFunction(global.DEFAULT_RETRY_RESPONSE);
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextLRC -> onFileReceived -> err = " + err.message);
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callBackFunction(err);
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return;
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}
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marketFile = JSON.parse(text);
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buildLRC();
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getProcessDayFile -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildTrades() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> buildTrades -> Entering function."); }
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addBandsToSingleArray(previousDayFile);
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addBandsToSingleArray(processDayFile);
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calculateTrades();
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function addBandsToSingleArray(bandsFile) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> buildTrades -> addBandsToSingleArray -> Entering function."); }
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for (let i = 0; i < bandsFile.length; i++) {
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let band = {
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open: undefined,
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close: undefined,
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min: 10000000000000,
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max: 0,
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begin: undefined,
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end: undefined,
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direction: undefined
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};
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band.min = bandsFile[i][0];
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band.max = bandsFile[i][1];
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band.open = bandsFile[i][2];
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band.close = bandsFile[i][3];
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band.begin = bandsFile[i][4];
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band.end = bandsFile[i][5];
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if (band.open > band.close) { band.direction = 'down'; }
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if (band.open < band.close) { band.direction = 'up'; }
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if (band.open === band.close) { band.direction = 'side'; }
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bands.push(band);
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> buildTrades -> addBandsToSingleArray -> err = " + err.message);
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextLRC -> onFileReceived -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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return;
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}
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}
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> buildTrades -> err = " + err.message);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextLRC -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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return;
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}
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}
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function calculateTrades() {
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function buildLRC() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildLRC -> Entering function."); }
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> calculateTrades -> Entering function."); }
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let previous;
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let tradesArray = [];
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let numberOfPeriods = 20;
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for (let i = 0; i < marketFile.length; i++) {
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/* Building trades */
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let trade;
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for (let i = numberOfPeriods - 1; i < bands.length; i++) { // Go through all the bands to generate a trade segment for each of them.
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let movingAverage = 0;
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for (let j = i - numberOfPeriods + 1; j < i + 1; j++) { // go through the last n bands to calculate the moving average.
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movingAverage = movingAverage + bands[j].close;
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}
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movingAverage = movingAverage / numberOfPeriods;
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let standardDeviation = 0;
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for (let j = i - numberOfPeriods + 1; j < i + 1; j++) { // go through the last n bands to calculate the standard deviation.
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standardDeviation = standardDeviation + Math.pow(bands[j].close - movingAverage, 2);
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}
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standardDeviation = standardDeviation / numberOfPeriods;
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standardDeviation = Math.sqrt(standardDeviation);
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trade = {
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begin: bands[i].begin,
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end: bands[i].end,
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movingAverage: movingAverage,
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standardDeviation: standardDeviation
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let LRC = {
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begin: marketFile[i][0],
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end: marketFile[i][1],
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_15: marketFile[i][2],
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_30: marketFile[i][3],
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_60: marketFile[i][4]
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};
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/* Will only add to the array the trades of the current day */
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if (previous !== undefined) {
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if (trade.begin >= processDate.valueOf()) { tradesArray.push(trade); }
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if (previous._15 > LRC._15) { LRC.direction15 = 'down'; }
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if (previous._15 < LRC._15) { LRC.direction15 = 'up'; }
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if (previous._15 === LRC._15) { LRC.direction15 = 'side'; }
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if (previous._30 > LRC._30) { LRC.direction30 = 'down'; }
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if (previous._30 < LRC._30) { LRC.direction30 = 'up'; }
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if (previous._30 === LRC._30) { LRC.direction30 = 'side'; }
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if (previous._60 > LRC._60) { LRC.direction60 = 'down'; }
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if (previous._60 < LRC._60) { LRC.direction60 = 'up'; }
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if (previous._60 === LRC._60) { LRC.direction60 = 'side'; }
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}
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LRC.previous = previous;
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LRCMap.set(LRC.begin, LRC);
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previous = LRC;
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}
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writeFile(tradesArray);
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nextPercentageBandwidth();
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} catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> calculateTrades -> err = " + err.message);
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildLRC -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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return;
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}
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}
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function writeFile(pTrades, callback) {
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function nextPercentageBandwidth() {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> writeTradeTradesFile -> writeFile -> Entering function."); }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> Entering function."); }
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let fileName = market.assetA + '_' + market.assetB + ".json";
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let filePathRoot = bot.devTeam + "/" + "AAChris" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
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let filePath = filePathRoot + "/Output/" + PERCENTAGE_BANDWIDTH_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
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chrisStorage.getTextFile(filePath, fileName, onFileReceived, true);
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function onFileReceived(err, text) {
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try {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> Entering function."); }
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if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> text = " + text); }
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if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> err = " + err.message);
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callBackFunction(err);
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return;
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}
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marketFile = JSON.parse(text);
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buildPercentageBandwidthMap();
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}
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catch (err) {
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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}
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catch (err) {
|
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logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> err = " + err.message);
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
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}
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}
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function buildPercentageBandwidthMap() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildPercentageBandwidthMap -> Entering function."); }
|
||||
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||||
try {
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let previous;
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|
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for (let i = 0; i < marketFile.length; i++) {
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let percentageBandwidth = {
|
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begin: marketFile[i][0],
|
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end: marketFile[i][1],
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value: marketFile[i][2],
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movingAverage: marketFile[i][3],
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bandwidth: marketFile[i][4]
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};
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if (previous !== undefined) {
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if (previous.movingAverage > percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'down'; }
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if (previous.movingAverage < percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'up'; }
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if (previous.movingAverage === percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'side'; }
|
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|
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}
|
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|
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percentageBandwidth.previous = previous;
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percentageBandwidthMap.set(percentageBandwidth.begin, percentageBandwidth);
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previous = percentageBandwidth;
|
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}
|
||||
|
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nextBollingerBands();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildPercentageBandwidthMap -> err = " + err.message);
|
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callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
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}
|
||||
}
|
||||
|
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function nextBollingerBands() {
|
||||
|
||||
try {
|
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|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerBands -> Entering function."); }
|
||||
|
||||
let fileName = market.assetA + '_' + market.assetB + ".json";
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + "AAChris" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
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let filePath = filePathRoot + "/Output/" + BOLLINGER_BANDS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
||||
chrisStorage.getTextFile(filePath, fileName, onFileReceived, true);
|
||||
|
||||
function onFileReceived(err, text) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerBands -> onFileReceived -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerBands -> onFileReceived -> text = " + text); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerBands -> onFileReceived -> err = " + err.message);
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
marketFile = JSON.parse(text);
|
||||
|
||||
buildBollingerBandsMap();
|
||||
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerBands -> onFileReceived -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerBands -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function buildBollingerBandsMap() {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildBollingerBandsMap -> Entering function."); }
|
||||
|
||||
try {
|
||||
|
||||
let previous;
|
||||
|
||||
for (let i = 0; i < marketFile.length; i++) {
|
||||
|
||||
let bollingerBand = {
|
||||
begin: marketFile[i][0],
|
||||
end: marketFile[i][1],
|
||||
movingAverage: marketFile[i][2],
|
||||
standardDeviation: marketFile[i][3],
|
||||
deviation: marketFile[i][4]
|
||||
};
|
||||
|
||||
if (previous !== undefined) {
|
||||
|
||||
if (previous.movingAverage > bollingerBand.movingAverage) { bollingerBand.direction = 'down'; }
|
||||
if (previous.movingAverage < bollingerBand.movingAverage) { bollingerBand.direction = 'up'; }
|
||||
if (previous.movingAverage === bollingerBand.movingAverage) { bollingerBand.direction = 'side'; }
|
||||
|
||||
}
|
||||
|
||||
bollingerBand.previous = previous;
|
||||
|
||||
bollingerBandsMap.set(bollingerBand.begin, bollingerBand);
|
||||
|
||||
previous = bollingerBand;
|
||||
}
|
||||
|
||||
nextBollingerChannels();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildBollingerBandsMap -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function nextBollingerChannels() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerChannels -> Entering function."); }
|
||||
|
||||
let fileName = market.assetA + '_' + market.assetB + ".json";
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + "AAPaula" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + BOLLINGER_CHANNELS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
||||
chrisStorage.getTextFile(filePath, fileName, onFileReceived, true);
|
||||
|
||||
function onFileReceived(err, text) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerChannels -> onFileReceived -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerChannels -> onFileReceived -> text = " + text); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerChannels -> onFileReceived -> err = " + err.message);
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
marketFile = JSON.parse(text);
|
||||
|
||||
buildBollingerChannelsArray();
|
||||
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerChannels -> onFileReceived -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerChannels -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function buildBollingerChannelsArray() {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildBollingerChannelsArray -> Entering function."); }
|
||||
|
||||
try {
|
||||
|
||||
let previous;
|
||||
|
||||
for (let i = 0; i < marketFile.length; i++) {
|
||||
|
||||
let bollingerChannel = {
|
||||
begin: marketFile[i][0],
|
||||
end: marketFile[i][1],
|
||||
direction: marketFile[i][2],
|
||||
period: marketFile[i][3],
|
||||
firstMovingAverage: marketFile[i][4],
|
||||
lastMovingAverage: marketFile[i][5],
|
||||
firstDeviation: marketFile[i][6],
|
||||
lastDeviation: marketFile[i][7]
|
||||
};
|
||||
|
||||
bollingerChannel.previous = previous;
|
||||
|
||||
bollingerChannelsArray.push(bollingerChannel);
|
||||
|
||||
previous = bollingerChannel;
|
||||
}
|
||||
|
||||
nextBollingerSubChannels();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildBollingerChannelsArray -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function nextBollingerSubChannels() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerSubChannels -> Entering function."); }
|
||||
|
||||
let fileName = market.assetA + '_' + market.assetB + ".json";
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + "AAPaula" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + BOLLINGER_SUB_CHANNELS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
||||
chrisStorage.getTextFile(filePath, fileName, onFileReceived, true);
|
||||
|
||||
function onFileReceived(err, text) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerSubChannels -> onFileReceived -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextBollingerSubChannels -> onFileReceived -> text = " + text); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerSubChannels -> onFileReceived -> err = " + err.message);
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
marketFile = JSON.parse(text);
|
||||
|
||||
buildBollingerSubChannelsArray();
|
||||
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerSubChannels -> onFileReceived -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextBollingerSubChannels -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function buildBollingerSubChannelsArray() {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildBollingerSubChannelsArray -> Entering function."); }
|
||||
|
||||
try {
|
||||
|
||||
let previous;
|
||||
|
||||
for (let i = 0; i < marketFile.length; i++) {
|
||||
|
||||
let bollingerSubChannel = {
|
||||
begin: marketFile[i][0],
|
||||
end: marketFile[i][1],
|
||||
direction: marketFile[i][2],
|
||||
slope: marketFile[i][3],
|
||||
period: marketFile[i][4],
|
||||
firstMovingAverage: marketFile[i][5],
|
||||
lastMovingAverage: marketFile[i][6],
|
||||
firstDeviation: marketFile[i][7],
|
||||
lastDeviation: marketFile[i][8]
|
||||
};
|
||||
|
||||
bollingerSubChannel.previous = previous;
|
||||
|
||||
bollingerSubChannelsArray.push(bollingerSubChannel);
|
||||
|
||||
previous = bollingerSubChannel;
|
||||
}
|
||||
|
||||
nextCandlesFile();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildBollingerSubChannelsArray -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function nextCandlesFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextCandlesFile -> Entering function."); }
|
||||
|
||||
let fileName = market.assetA + '_' + market.assetB + ".json";
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + "AAOlivia" + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + CANDLES_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
||||
oliviaStorage.getTextFile(filePath, fileName, onFileReceived, true);
|
||||
|
||||
function onFileReceived(err, text) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextCandlesFile -> onFileReceived -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextCandlesFile -> onFileReceived -> text = " + text); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextCandlesFile -> onFileReceived -> err = " + err.message);
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
marketFile = JSON.parse(text);
|
||||
|
||||
buildCandles();
|
||||
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextCandlesFile -> onFileReceived -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextCandlesFile -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function buildCandles() {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildCandles -> Entering function."); }
|
||||
|
||||
try {
|
||||
|
||||
let previous;
|
||||
|
||||
for (let i = 0; i < marketFile.length; i++) {
|
||||
|
||||
let candle = {
|
||||
open: undefined,
|
||||
close: undefined,
|
||||
min: 10000000000000,
|
||||
max: 0,
|
||||
begin: undefined,
|
||||
end: undefined,
|
||||
direction: undefined
|
||||
};
|
||||
|
||||
candle.min = marketFile[i][0];
|
||||
candle.max = marketFile[i][1];
|
||||
|
||||
candle.open = marketFile[i][2];
|
||||
candle.close = marketFile[i][3];
|
||||
|
||||
candle.begin = marketFile[i][4];
|
||||
candle.end = marketFile[i][5];
|
||||
|
||||
if (candle.open > candle.close) { candle.direction = 'down'; }
|
||||
if (candle.open < candle.close) { candle.direction = 'up'; }
|
||||
if (candle.open === candle.close) { candle.direction = 'side'; }
|
||||
|
||||
candle.previous = previous;
|
||||
|
||||
candles.push(candle);
|
||||
|
||||
previous = candle;
|
||||
}
|
||||
|
||||
commons.runSimulation(
|
||||
candles,
|
||||
bollingerBandsMap,
|
||||
percentageBandwidthMap,
|
||||
LRCMap,
|
||||
bollingerChannelsArray,
|
||||
bollingerSubChannelsArray,
|
||||
recordsArray,
|
||||
conditionsArray,
|
||||
simulationLogic,
|
||||
outputPeriod,
|
||||
writeRecordsFile)
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildCandles -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeRecordsFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeRecordsFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (i = 0; i < pTrades.length; i++) {
|
||||
for (let i = 0; i < recordsArray.length; i++) {
|
||||
|
||||
let trade = pTrades[i];
|
||||
let record = recordsArray[i];
|
||||
|
||||
fileContent = fileContent + separator + '[' +
|
||||
trade.begin + "," +
|
||||
trade.end + "," +
|
||||
trade.movingAverage + "," +
|
||||
trade.standardDeviation + "]";
|
||||
record.begin + "," +
|
||||
record.end + "," +
|
||||
record.type + "," +
|
||||
record.rate + "," +
|
||||
record.amount + "," +
|
||||
record.balanceA + "," +
|
||||
record.balanceB + "," +
|
||||
record.profit + "," +
|
||||
record.lastProfit + "," +
|
||||
record.stopLoss + "," +
|
||||
record.roundtrips + "," +
|
||||
record.hits + "," +
|
||||
record.fails + "," +
|
||||
record.hitRatio + "," +
|
||||
record.ROI + "," +
|
||||
record.periods + "," +
|
||||
record.days + "," +
|
||||
record.anualizedRateOfReturn + "," +
|
||||
record.sellRate + "," +
|
||||
record.lastProfitPercent + "," +
|
||||
record.strategy + "," +
|
||||
record.strategyPhase + "," +
|
||||
record.buyOrder + "," +
|
||||
record.stopLossPhase + "," +
|
||||
record.buyOrderPhase + "]";
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
@@ -549,11 +927,10 @@
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
|
||||
let dateForPath = processDate.getUTCFullYear() + '/' + utilities.pad(processDate.getUTCMonth() + 1, 2) + '/' + utilities.pad(processDate.getUTCDate(), 2);
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + SIMULATED_TRADES_FOLDER_NAME + "/" + bot.process + "/" + timePeriod + "/" + dateForPath;
|
||||
let filePath = filePathRoot + "/Output/" + SIMULATED_RECORDS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
||||
jasonStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
|
||||
|
||||
@@ -561,35 +938,111 @@
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> writeTradeTradesFile -> writeFile -> onFileCreated -> Entering function."); }
|
||||
|
||||
if (LOG_FILE_CONTENT === true) {
|
||||
logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> writeTradeTradesFile -> writeFile -> onFileCreated -> Content written = " + fileContent);
|
||||
}
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> loopBody -> writeTradeTradesFile -> writeFile -> onFileCreated -> err = " + err.message);
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
const logText = "[WARN] Finished with File @ " + market.assetA + "_" + market.assetB + ", " + fileRecordCounter + " records inserted into " + filePath + "/" + fileName + "";
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> writeTradeTradesFile -> writeFile -> onFileCreated -> " + logText); }
|
||||
writeConditionsFile();
|
||||
|
||||
controlLoop();
|
||||
|
||||
} catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> writeTradeTradesFile -> writeFile -> onFileCreated -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_RETRY_RESPONSE);
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> onFileCreated -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
} catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> writeTradeTradesFile -> writeFile -> err = " + err.message);
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeRecordsFile -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
function writeConditionsFile() {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeConditionsFile -> Entering function."); }
|
||||
|
||||
let separator = "";
|
||||
let fileRecordCounter = 0;
|
||||
|
||||
let fileContent = "";
|
||||
|
||||
for (let i = 0; i < conditionsArray.length; i++) {
|
||||
|
||||
let record = conditionsArray[i];
|
||||
|
||||
let conditions = "";
|
||||
let conditionsSeparator = "";
|
||||
|
||||
for (let j = 0; j < record.length - 1; j++) {
|
||||
conditions = conditions + conditionsSeparator + record[j];
|
||||
if (conditionsSeparator === "") { conditionsSeparator = ","; }
|
||||
}
|
||||
|
||||
conditions = conditions + conditionsSeparator + '[' + record[record.length - 1] + ']'; // The last item contains an Array of condition values.
|
||||
|
||||
fileContent = fileContent + separator + '[' + conditions + ']';
|
||||
|
||||
if (separator === "") { separator = ","; }
|
||||
|
||||
fileRecordCounter++;
|
||||
|
||||
}
|
||||
|
||||
fileContent = "[" + fileContent + "]";
|
||||
fileContent = "[" + JSON.stringify(simulationLogic) + "," + fileContent + "]";
|
||||
let fileName = '' + market.assetA + '_' + market.assetB + '.json';
|
||||
|
||||
let filePathRoot = bot.devTeam + "/" + bot.codeName + "." + bot.version.major + "." + bot.version.minor + "/" + global.PLATFORM_CONFIG.codeName + "." + global.PLATFORM_CONFIG.version.major + "." + global.PLATFORM_CONFIG.version.minor + "/" + global.EXCHANGE_NAME + "/" + bot.dataSetVersion;
|
||||
let filePath = filePathRoot + "/Output/" + CONDITIONS_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod;
|
||||
|
||||
jasonStorage.createTextFile(filePath, fileName, fileContent + '\n', onFileCreated);
|
||||
|
||||
function onFileCreated(err) {
|
||||
|
||||
try {
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> Entering function."); }
|
||||
if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> fileContent = " + fileContent); }
|
||||
|
||||
if (err.result !== global.DEFAULT_OK_RESPONSE.result) {
|
||||
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> err = " + err.message);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> filePath = " + filePath);
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> market = " + market.assetA + "_" + market.assetB);
|
||||
|
||||
callBackFunction(err);
|
||||
return;
|
||||
|
||||
}
|
||||
|
||||
controlLoop();
|
||||
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> onFileCreated -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
}
|
||||
catch (err) {
|
||||
logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> writeConditionsFile -> err = " + err.message);
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE);
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
|
||||
@@ -48,6 +48,30 @@
|
||||
"process": "Multi-Period-Market",
|
||||
"dataSetVersion": "dataSet.V1"
|
||||
}
|
||||
],
|
||||
"dataDependencies": [
|
||||
{
|
||||
"devTeam": "AAVikings",
|
||||
"bot": "AAGauss",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "LRC-Points",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAOlivia",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Candles",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Market"
|
||||
}
|
||||
]
|
||||
},
|
||||
{
|
||||
@@ -107,6 +131,30 @@
|
||||
"process": "Multi-Period-Daily",
|
||||
"dataSetVersion": "dataSet.V1"
|
||||
}
|
||||
],
|
||||
"dataDependencies": [
|
||||
{
|
||||
"devTeam": "AAVikings",
|
||||
"bot": "AAGauss",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "LRC-Points",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Daily"
|
||||
},
|
||||
{
|
||||
"devTeam": "AAMasters",
|
||||
"bot": "AAOlivia",
|
||||
"botVersion": {
|
||||
"major": 1,
|
||||
"minor": 0
|
||||
},
|
||||
"product": "Candles",
|
||||
"dataSetVersion": "dataSet.V1",
|
||||
"dataSet": "Multi-Period-Daily"
|
||||
}
|
||||
]
|
||||
}
|
||||
],
|
||||
|
||||
Reference in new issue
Block a user