From aa04a2b0e044be78bff3386bc5016f257e30293c Mon Sep 17 00:00:00 2001 From: Luis Fernando Molina Date: Sat, 16 Mar 2019 10:33:02 +0100 Subject: [PATCH] Data Dependencies Added to Config --- Commons.js | 2 +- Multi-Period-Daily/User.Bot.js | 845 +++++++++++++++++++++++++-------- this.bot.config.json | 48 ++ 3 files changed, 698 insertions(+), 197 deletions(-) diff --git a/Commons.js b/Commons.js index 4fe9e107f..53bfce367 100644 --- a/Commons.js +++ b/Commons.js @@ -359,7 +359,7 @@ conditions: [ { name: "Sub-Channel going up", - code: "subChannel.direction === 'Up'" + code: "subChannel.direction === 'up'" }, { name: "Sub-Channel Side|Gentle|Medium", diff --git a/Multi-Period-Daily/User.Bot.js b/Multi-Period-Daily/User.Bot.js index abcd97979..5e94c9d31 100644 --- a/Multi-Period-Daily/User.Bot.js +++ b/Multi-Period-Daily/User.Bot.js @@ -64,14 +64,6 @@ } } - /* - - This process is going to do the following: - - Read the bands from Chris and produce daily files with bollinger trades. - - */ - function start(callBackFunction) { try { @@ -317,229 +309,615 @@ const timePeriod = global.dailyFilePeriods[n][1]; - let bands = []; // Here we will put all the bands of the 2 files read. + let marketFile; - let previousDayFile; - let processDayFile; + let LRCMap = new Map(); + let percentageBandwidthMap = new Map(); + let bollingerBandsMap = new Map(); + let bollingerChannelsArray = []; + let bollingerSubChannelsArray = []; - getPreviousDayFile(); + let candles = []; + let recordsArray = []; + let conditionsArray = []; + let simulationLogic = {}; - function getPreviousDayFile() { + nextLRC(); + + function nextLRC() { try { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getPreviousDayFile -> Entering function."); } + if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextLRC -> Entering function."); } - let dateForPath = previousDay.getUTCFullYear() + '/' + utilities.pad(previousDay.getUTCMonth() + 1, 2) + '/' + utilities.pad(previousDay.getUTCDate(), 2); + let dateForPath = fileDate.getUTCFullYear() + '/' + utilities.pad(fileDate.getUTCMonth() + 1, 2) + '/' + utilities.pad(fileDate.getUTCDate(), 2); 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; - let filePath = filePathRoot + "/Output/" + CANDLES_FOLDER_NAME + '/' + "Multi-Period-Daily" + "/" + timePeriod + "/" + dateForPath; + 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/" + CANDLE_STAIRS_FOLDER_NAME + '/' + "Multi-Period-Daily" + "/" + timePeriod + "/" + dateForPath; - chrisStorage.getTextFile(filePath, fileName, onCurrentDayFileReceived, true); - function onCurrentDayFileReceived(err, text) { + + let fileName = market.assetA + '_' + market.assetB + ".json"; + + 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; + let filePath = filePathRoot + "/Output/" + LRC_FOLDER_NAME + "/" + "Multi-Period-Market" + "/" + timePeriod; + + gaussStorage.getTextFile(filePath, fileName, onFileReceived, true); + + function onFileReceived(err, text) { try { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> Entering function."); } - if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> text = " + text); } + if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextLRC -> onFileReceived -> Entering function."); } + if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextLRC -> onFileReceived -> text = " + text); } - previousDayFile = JSON.parse(text); - getProcessDayFile() + if (err.result !== global.DEFAULT_OK_RESPONSE.result) { - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> err = " + err.message); - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> filePath = " + filePath); - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getPreviousDayFile -> onCurrentDayFileReceived -> market = " + market.assetA + '_' + market.assetB); - - callBackFunction(global.DEFAULT_RETRY_RESPONSE); - } - } - - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getPreviousDayFile -> err = " + err.message); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function getProcessDayFile() { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getProcessDayFile -> Entering function."); } - - 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 + "/" + "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; - let filePath = filePathRoot + "/Output/" + CANDLES_FOLDER_NAME + '/' + "Multi-Period-Daily" + "/" + timePeriod + "/" + dateForPath; - - chrisStorage.getTextFile(filePath, fileName, onCurrentDayFileReceived, true); - - function onCurrentDayFileReceived(err, text) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> Entering function."); } - if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> text = " + text); } - - processDayFile = JSON.parse(text); - buildTrades(); - - } catch (err) { - - if (processDate.valueOf() > contextVariables.maxTradeFile.valueOf()) { - - processDayFile = []; // we are past the head of the market, then no worries if this file is non existent. - buildTrades(); - - } else { - - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> err = " + err.message); - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> filePath = " + filePath); - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getProcessDayFile -> onCurrentDayFileReceived -> market = " + market.assetA + '_' + market.assetB); - - callBackFunction(global.DEFAULT_RETRY_RESPONSE); + logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextLRC -> onFileReceived -> err = " + err.message); + callBackFunction(err); return; + } + + marketFile = JSON.parse(text); + + buildLRC(); + + } - } - - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> getProcessDayFile -> err = " + err.message); - callBackFunction(global.DEFAULT_FAIL_RESPONSE); - } - } - - function buildTrades() { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> buildTrades -> Entering function."); } - - addBandsToSingleArray(previousDayFile); - addBandsToSingleArray(processDayFile); - calculateTrades(); - - function addBandsToSingleArray(bandsFile) { - - try { - - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> buildTrades -> addBandsToSingleArray -> Entering function."); } - - for (let i = 0; i < bandsFile.length; i++) { - - let band = { - open: undefined, - close: undefined, - min: 10000000000000, - max: 0, - begin: undefined, - end: undefined, - direction: undefined - }; - - band.min = bandsFile[i][0]; - band.max = bandsFile[i][1]; - - band.open = bandsFile[i][2]; - band.close = bandsFile[i][3]; - - band.begin = bandsFile[i][4]; - band.end = bandsFile[i][5]; - - if (band.open > band.close) { band.direction = 'down'; } - if (band.open < band.close) { band.direction = 'up'; } - if (band.open === band.close) { band.direction = 'side'; } - - bands.push(band); - } - - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> buildTrades -> addBandsToSingleArray -> err = " + err.message); + catch (err) { + logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextLRC -> onFileReceived -> err = " + err.message); callBackFunction(global.DEFAULT_FAIL_RESPONSE); - return; } } - - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> buildTrades -> err = " + err.message); + } + catch (err) { + logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextLRC -> err = " + err.message); callBackFunction(global.DEFAULT_FAIL_RESPONSE); - return; } } - function calculateTrades() { + function buildLRC() { + + if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildLRC -> Entering function."); } try { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> calculateTrades -> Entering function."); } + let previous; - let tradesArray = []; - let numberOfPeriods = 20; + for (let i = 0; i < marketFile.length; i++) { - /* Building trades */ - - let trade; - - for (let i = numberOfPeriods - 1; i < bands.length; i++) { // Go through all the bands to generate a trade segment for each of them. - - let movingAverage = 0; - for (let j = i - numberOfPeriods + 1; j < i + 1; j++) { // go through the last n bands to calculate the moving average. - movingAverage = movingAverage + bands[j].close; - } - movingAverage = movingAverage / numberOfPeriods; - - let standardDeviation = 0; - for (let j = i - numberOfPeriods + 1; j < i + 1; j++) { // go through the last n bands to calculate the standard deviation. - standardDeviation = standardDeviation + Math.pow(bands[j].close - movingAverage, 2); - } - standardDeviation = standardDeviation / numberOfPeriods; - standardDeviation = Math.sqrt(standardDeviation); - - trade = { - begin: bands[i].begin, - end: bands[i].end, - movingAverage: movingAverage, - standardDeviation: standardDeviation + let LRC = { + begin: marketFile[i][0], + end: marketFile[i][1], + _15: marketFile[i][2], + _30: marketFile[i][3], + _60: marketFile[i][4] }; - /* Will only add to the array the trades of the current day */ + if (previous !== undefined) { - if (trade.begin >= processDate.valueOf()) { tradesArray.push(trade); } - + if (previous._15 > LRC._15) { LRC.direction15 = 'down'; } + if (previous._15 < LRC._15) { LRC.direction15 = 'up'; } + if (previous._15 === LRC._15) { LRC.direction15 = 'side'; } + + if (previous._30 > LRC._30) { LRC.direction30 = 'down'; } + if (previous._30 < LRC._30) { LRC.direction30 = 'up'; } + if (previous._30 === LRC._30) { LRC.direction30 = 'side'; } + + if (previous._60 > LRC._60) { LRC.direction60 = 'down'; } + if (previous._60 < LRC._60) { LRC.direction60 = 'up'; } + if (previous._60 === LRC._60) { LRC.direction60 = 'side'; } + + } + + LRC.previous = previous; + + LRCMap.set(LRC.begin, LRC); + + previous = LRC; } - writeFile(tradesArray); + nextPercentageBandwidth(); - } catch (err) { - logger.write(MODULE_NAME, "[ERROR] start -> buildTrades -> periodsLoop -> loopBody -> calculateTrades -> err = " + err.message); + } + catch (err) { + logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildLRC -> err = " + err.message); callBackFunction(global.DEFAULT_FAIL_RESPONSE); - return; } } - function writeFile(pTrades, callback) { + function nextPercentageBandwidth() { try { - if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildTrades -> loopBody -> writeTradeTradesFile -> writeFile -> Entering function."); } + if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> 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; + let filePath = filePathRoot + "/Output/" + PERCENTAGE_BANDWIDTH_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 -> nextPercentageBandwidth -> onFileReceived -> Entering function."); } + if (LOG_FILE_CONTENT === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> text = " + text); } + + if (err.result !== global.DEFAULT_OK_RESPONSE.result) { + + logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> err = " + err.message); + callBackFunction(err); + return; + + } + + marketFile = JSON.parse(text); + + buildPercentageBandwidthMap(); + + + } + catch (err) { + logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> onFileReceived -> err = " + err.message); + callBackFunction(global.DEFAULT_FAIL_RESPONSE); + } + } + } + catch (err) { + logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> nextPercentageBandwidth -> err = " + err.message); + callBackFunction(global.DEFAULT_FAIL_RESPONSE); + } + } + + function buildPercentageBandwidthMap() { + + if (FULL_LOG === true) { logger.write(MODULE_NAME, "[INFO] start -> buildRecords -> loopBody -> buildPercentageBandwidthMap -> Entering function."); } + + try { + + let previous; + + for (let i = 0; i < marketFile.length; i++) { + + let percentageBandwidth = { + begin: marketFile[i][0], + end: marketFile[i][1], + value: marketFile[i][2], + movingAverage: marketFile[i][3], + bandwidth: marketFile[i][4] + }; + + if (previous !== undefined) { + + if (previous.movingAverage > percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'down'; } + if (previous.movingAverage < percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'up'; } + if (previous.movingAverage === percentageBandwidth.movingAverage) { percentageBandwidth.direction = 'side'; } + + } + + percentageBandwidth.previous = previous; + + percentageBandwidthMap.set(percentageBandwidth.begin, percentageBandwidth); + + previous = percentageBandwidth; + } + + nextBollingerBands(); + + } + catch (err) { + logger.write(MODULE_NAME, "[ERROR] start -> buildRecords -> loopBody -> buildPercentageBandwidthMap -> err = " + err.message); + callBackFunction(global.DEFAULT_FAIL_RESPONSE); + } + } + + function nextBollingerBands() { + + try { + + 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; + 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); + } + } + + diff --git a/this.bot.config.json b/this.bot.config.json index 47e91399d..25d2198a3 100644 --- a/this.bot.config.json +++ b/this.bot.config.json @@ -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" + } ] } ],