More Modules
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Luis Fernando Molina committed
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@@ -0,0 +1,22 @@
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exports.newAnnouncements = function newAnnouncements(bot, logger) {
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const MODULE_NAME = 'Announcements'
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let thisObject = {
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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return thisObject
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function initialize() {
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tradingEngine = bot.TRADING_ENGINE
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}
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function finalize() {
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tradingEngine = undefined
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}
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}
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@@ -0,0 +1,73 @@
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exports.newSnapshots = function newSnapshots(bot, logger) {
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const MODULE_NAME = 'Snapshots'
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let thisObject = {
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manageSnapshots: manageSnapshots,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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return thisObject
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function initialize() {
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tradingEngine = bot.TRADING_ENGINE
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}
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function finalize() {
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tradingEngine = undefined
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}
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function manageSnapshots() {
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/* Snapshots Management (before we generate the trade record and delete that info) */
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if (saveAsLastTriggerOnSnapshot === true) {
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snapshots.lastTriggerOn = snapshotDataRecord
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saveAsLastTriggerOnSnapshot = false
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}
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if (saveAsLastTakePositionSnapshot === true) {
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snapshots.lastTakePosition = snapshotDataRecord
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saveAsLastTakePositionSnapshot = false
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}
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if (addToSnapshots === true) {
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let closeValues = [
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tradingEngine.episode.positionCounters.positions.value, // Position Number
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(new Date(candle.begin)).toISOString(), // Datetime
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tradingSystem.strategies[tradingEngine.current.strategy.index.value].name, // Strategy Name
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tradingEngine.current.strategy.situationName.value, // Trigger On Situation
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tradingEngine.current.position.situationName.value, // Take Position Situation
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hitOrFial(), // Result
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tradingEngine.last.position.ROI.value, // ROI
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exitType() // Exit Type
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]
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function hitOrFial() {
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if (tradingEngine.last.position.ROI.value > 0) { return 'HIT' } else { return 'FAIL' }
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}
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function exitType() {
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switch (tradingEngine.current.position.exitType.value) {
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case 1: return 'Stop'
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case 2: return 'Take Profit'
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}
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}
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if (positionedAtYesterday === false) {
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snapshots.triggerOn.push(closeValues.concat(snapshots.lastTriggerOn))
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snapshots.takePosition.push(closeValues.concat(snapshots.lastTakePosition))
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}
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snapshots.lastTriggerOn = undefined
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snapshots.lastTakePosition = undefined
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addToSnapshots = false
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}
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let closeHeaders = ['Trade Number', 'Close Datetime', 'Strategy', 'Trigger On Situation', 'Take Position Situation', 'Result', 'ROI', 'Exit Type']
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if (snapshots.headers === undefined) {
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snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
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}
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}
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}
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@@ -5,6 +5,10 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
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let thisObject = {
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updatePositionCounters: updatePositionCounters,
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updateDistanceToEventsCounters: updateDistanceToEventsCounters,
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getReadyToTakePosition: getReadyToTakePosition,
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takePosition: takePosition,
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getReadyToClosePosition: getReadyToClosePosition,
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closePosition: closePosition,
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initialize: initialize,
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finalize: finalize
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}
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@@ -115,5 +119,125 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
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tradingEngine.current.distanceToEvent.closePosition.value++
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}
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}
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function getReadyToTakePosition(candle) {
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/* Inicializing this counter */
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tradingEngine.current.distanceToEvent.takePosition.value = 1
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/* Position size and rate */
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tradingEngine.current.position.size.value = getPositionSize()
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tradingEngine.current.position.rate.value = getPositionRate()
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/* We take what was calculated at the formula and apply the slippage. */
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let slippageAmount = tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.slippage.positionRate / 100
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value - slippageAmount
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} else {
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tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value + slippageAmount
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}
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/* Update the trade record information. */
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tradingEngine.current.position.begin.value = candle.begin
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tradingEngine.current.position.beginRate.value = tradingEngine.current.position.rate.value
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}
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function takePosition() {
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calculateTakeProfit() // TODO: Check if this is really necesary
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calculateStopLoss() // TODO: Check if this is really necesary
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tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
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tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
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tradingEngine.last.position.profitLoss.value = 0
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tradingEngine.last.position.ROI.value = 0
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let feePaid = 0
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.current.position.size.value
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} else {
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feePaid = tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.current.position.size.value
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}
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}
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function getReadyToClosePosition() {
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/* Inicializing this counter */
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tradingEngine.current.distanceToEvent.closePosition.value = 1
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/* Position size and rate */
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let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
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}
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function closePosition() {
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tradingEngine.episode.positionCounters.positions.value++
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let feePaid = 0
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
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tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value - feePaid
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tradingEngine.current.balance.quotedAsset.value = 0
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} else {
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feePaid = tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
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tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value - feePaid
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tradingEngine.current.balance.baseAsset.value = 0
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}
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.previous.balance.baseAsset.value
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tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
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if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
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tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.baseAsset.value - sessionParameters.sessionBaseAsset.config.initialBalance
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} else {
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tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.previous.balance.quotedAsset.value
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tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
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if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
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tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - sessionParameters.sessionQuotedAsset.config.initialBalance
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}
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tradingEngine.current.position.positionStatistics.ROI.value = tradingEngine.last.position.ROI.value
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if (tradingEngine.last.position.profitLoss.value > 0) {
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tradingEngine.episode.episodeCounters.hits.value++
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} else {
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tradingEngine.episode.episodeCounters.fails.value++
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}
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionBaseAsset.config.initialBalance - 1
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tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
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tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days * 365
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} else {
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tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionQuotedAsset.config.initialBalance - 1
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tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
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tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days * 365
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}
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addRecords()
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tradingEngine.current.position.stopLoss.value = 0
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tradingEngine.current.position.takeProfit.value = 0
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tradingEngine.current.position.rate.value = 0
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tradingEngine.current.position.size.value = 0
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timerToCloseStage = candle.begin
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tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
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tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
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tradingEngine.current.position.stopLoss.stopLossPhase.value = -1
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tradingEngine.current.position.takeProfit.takeProfitPhase.value = -1
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}
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}
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@@ -0,0 +1,326 @@
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exports.newTradingExecution = function newTradingExecution(bot, logger) {
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const MODULE_NAME = 'Trading Execution'
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let thisObject = {
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takePosition: takePosition,
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closePosition: closePosition,
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initialize: initialize,
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finalize: finalize
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}
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let tradingEngine
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return thisObject
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function initialize() {
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tradingEngine = bot.TRADING_ENGINE
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}
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function finalize() {
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tradingEngine = undefined
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}
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function takePosition() {
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/* Check if we need to execute. */
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if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not. */
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/* Check that we are in LIVE MODE */
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if (bot.startMode === 'Live') {
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> Taking a Position in Live Mode.')
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> tradingEngine.current.position.size.value = ' + tradingEngine.current.position.size.value)
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> tradingEngine.current.position.rate.value = ' + tradingEngine.current.position.rate.value)
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> slippageAmount = ' + slippageAmount)
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logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> tradingEngine.current.position.rate.value = ' + tradingEngine.current.position.rate.value)
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/* We see if we need to put the actual order at the exchange. */
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if (variable.executionContext !== undefined) {
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switch (variable.executionContext.status) {
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case 'Without a Position': { // We need to put the order because It was not put yet.
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if (strategy.openStage !== undefined) {
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if (strategy.openStage.openExecution !== undefined) {
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putOpeningOrder()
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return
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}
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}
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break
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}
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case 'Position Closed': { // Waiting for a confirmation that the position was closed.
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if (strategy.openStage !== undefined) {
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if (strategy.openStage.openExecution !== undefined) {
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putOpeningOrder()
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return
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}
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}
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break
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}
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case 'Taking Position': { // Waiting for a confirmation that the position was taken.
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is Taking Position.') }
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break
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}
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case 'In a Position': { // This should mean that we already put the order at the exchange.
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is In a Position.') }
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break
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}
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}
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} else { // The context does not exist so it means we are not in a position.
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if (strategy.openStage !== undefined) {
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if (strategy.openStage.openExecution !== undefined) {
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putOpeningOrder()
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return
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}
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}
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}
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} else {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Not trading live.') }
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}
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} else {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Not the last closed candle.') }
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}
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}
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function putOpeningOrder() {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Entering function.') }
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/* We wont take a position unless we are withing the sessionParameters.timeRange.config.initialDatetime and the sessionParameters.timeRange.config.finalDatetime range */
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if (sessionParameters.timeRange.config.initialDatetime !== undefined) {
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if (candle.end < sessionParameters.timeRange.config.initialDatetime.valueOf()) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because current candle ends before the start date. -> sessionParameters.timeRange.config.initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) }
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takePositionAtSimulation()
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return
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}
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}
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/* We wont take a position if we are past the final datetime */
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if (sessionParameters.timeRange.config.finalDatetime !== undefined) {
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if (candle.begin > sessionParameters.timeRange.config.finalDatetime.valueOf()) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> putOpeningOrder -> Not placing the trade at the exchange because current candle begins after the end date. -> sessionParameters.timeRange.config.finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) }
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takePositionAtSimulation()
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return
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}
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}
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/* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
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if (variable.executionContext !== undefined) {
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if (variable.executionContext.periods !== undefined) {
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if (tradingEngine.episode.episodeCounters.periods <= variable.executionContext.periods) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because it was already placed at a previous execution.') }
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takePositionAtSimulation()
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return
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}
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}
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}
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/* We are not going to place orders based on outdated information. The next filter prevents firing orders when backtesting. */
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if (currentDay) {
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let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
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let processDay = new Date(Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
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if (today.valueOf() !== processDay.valueOf()) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the current candle belongs to the previous day and that is considered simulation and not live trading.') }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> today = ' + today) }
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> processDay = ' + processDay) }
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takePositionAtSimulation()
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return
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}
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}
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let orderPrice
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let amountA
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let amountB
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let orderSide
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if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
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orderSide = 'sell'
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orderPrice = tradingEngine.current.position.rate.value
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amountA = tradingEngine.current.position.size.value * orderPrice
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amountB = tradingEngine.current.position.size.value
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} else {
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orderSide = 'buy'
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orderPrice = tradingEngine.current.position.rate.value
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amountA = tradingEngine.current.position.size.value
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amountB = tradingEngine.current.position.size.value / orderPrice
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}
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variable.executionContext = {
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status: 'Taking Position',
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periods: tradingEngine.episode.episodeCounters.periods
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}
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Ready to create order.') }
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exchangeAPI.createOrder(bot.market, orderSide, orderPrice, amountA, amountB, onOrderCreated)
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function onOrderCreated(err, order) {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> Entering function.') }
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try {
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switch (err.result) {
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case global.DEFAULT_OK_RESPONSE.result: {
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if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> DEFAULT_OK_RESPONSE ') }
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variable.executionContext = {
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status: 'In a Position',
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periods: tradingEngine.episode.episodeCounters.periods,
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amountA: amountA,
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amountB: amountB,
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orderId: order.id
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}
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takePositionAtSimulation()
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return
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}
|
||||
case global.DEFAULT_FAIL_RESPONSE.result: {
|
||||
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 -> 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 -> onOrderCreated -> Unexpected Response -> Message = ' + err.message) }
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
||||
return
|
||||
} catch (err) {
|
||||
logger.write(MODULE_NAME, '[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> err = ' + err.stack)
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function closePosition() {
|
||||
if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not. */
|
||||
/* Check that we are in LIVE MODE */
|
||||
if (bot.startMode === 'Live') {
|
||||
/* We see if we need to put the actual order at the exchange. */
|
||||
if (variable.executionContext !== undefined) {
|
||||
switch (variable.executionContext.status) {
|
||||
case 'Without a Position': { // No way to close anything at the exchange.
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Without a Position.') }
|
||||
break
|
||||
}
|
||||
case 'In a Position': { // This should mean that we already put the order at the exchange.
|
||||
if (strategy.closeStage !== undefined) {
|
||||
if (strategy.closeStage.closeExecution !== undefined) {
|
||||
putClosingOrder()
|
||||
return
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Closing Position': { // Waiting for a confirmation that the position was taken.
|
||||
if (strategy.closeStage !== undefined) {
|
||||
if (strategy.closeStage.closeExecution !== undefined) {
|
||||
putClosingOrder()
|
||||
return
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
|
||||
case 'Position Closed': { //
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Position Closed.') }
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function putClosingOrder() {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> putClosingOrder -> Entering function.') }
|
||||
|
||||
/* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
|
||||
if (variable.executionContext !== undefined) {
|
||||
if (variable.executionContext.periods !== undefined) {
|
||||
if (tradingEngine.episode.episodeCounters.periods <= variable.executionContext.periods) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because this closing was already submited at a previous execution.') }
|
||||
closePositionAtSimulation()
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
let orderPrice
|
||||
let amountA
|
||||
let amountB
|
||||
let orderSide
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
orderSide = 'buy'
|
||||
|
||||
orderPrice = ticker.last + 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
|
||||
|
||||
amountA = tradingEngine.current.balance.quotedAsset.value
|
||||
amountB = tradingEngine.current.balance.quotedAsset.value / orderPrice
|
||||
} else {
|
||||
orderSide = 'sell'
|
||||
|
||||
orderPrice = ticker.last - 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
|
||||
|
||||
amountA = tradingEngine.current.balance.baseAsset.value * orderPrice
|
||||
amountB = tradingEngine.current.balance.baseAsset.value
|
||||
}
|
||||
|
||||
variable.executionContext = {
|
||||
status: 'Closing Position',
|
||||
periods: tradingEngine.episode.episodeCounters.periods
|
||||
}
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange.') }
|
||||
exchangeAPI.createOrder(bot.market, orderSide, orderPrice, amountA, amountB, onOrderCreated)
|
||||
|
||||
function onOrderCreated(err, order) {
|
||||
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 -> onOrderCreated -> DEFAULT_OK_RESPONSE ') }
|
||||
variable.executionContext = {
|
||||
status: 'Position Closed',
|
||||
periods: tradingEngine.episode.episodeCounters.periods,
|
||||
amountA: amountA,
|
||||
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 -> 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 -> onOrderCreated -> DEFAULT_RETRY_RESPONSE ') }
|
||||
strategy.closeStage.closeExecution.error = err.message
|
||||
afterLoop()
|
||||
return
|
||||
}
|
||||
}
|
||||
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 -> onOrderCreated -> err = ' + err.stack)
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@@ -0,0 +1,163 @@
|
||||
exports.newTradingRecords = function newTradingRecords(bot, logger) {
|
||||
|
||||
const MODULE_NAME = 'Trading Records'
|
||||
|
||||
let thisObject = {
|
||||
addSimulationRecord: addSimulationRecord,
|
||||
addConditionsRecord: addConditionsRecord,
|
||||
addStrategyRecord: addStrategyRecord,
|
||||
addPositionRecord: addPositionRecord,
|
||||
initialize: initialize,
|
||||
finalize: finalize
|
||||
}
|
||||
|
||||
let tradingEngine
|
||||
|
||||
return thisObject
|
||||
|
||||
function initialize() {
|
||||
tradingEngine = bot.TRADING_ENGINE
|
||||
}
|
||||
|
||||
function finalize() {
|
||||
tradingEngine = undefined
|
||||
}
|
||||
|
||||
function addSimulationRecord() {
|
||||
/* Simulation Record */
|
||||
let simulationRecord
|
||||
|
||||
if (tradingEngine.current.balance.baseAsset.value === Infinity) {
|
||||
tradingEngine.current.balance.baseAsset.value = Number.MAX_SAFE_INTEGER
|
||||
}
|
||||
|
||||
if (tradingEngine.current.balance.quotedAsset.value === Infinity) {
|
||||
tradingEngine.current.balance.quotedAsset.value = Number.MAX_SAFE_INTEGER
|
||||
}
|
||||
|
||||
simulationRecord = [
|
||||
candle.begin,
|
||||
candle.end,
|
||||
tradingEngine.current.balance.baseAsset.value,
|
||||
tradingEngine.current.balance.quotedAsset.value,
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value,
|
||||
tradingEngine.last.position.profitLoss.value,
|
||||
tradingEngine.current.position.stopLoss.value,
|
||||
tradingEngine.episode.positionCounters.positions.value,
|
||||
tradingEngine.episode.episodeCounters.hits.value,
|
||||
tradingEngine.episode.episodeCounters.fails.value,
|
||||
tradingEngine.episode.episodeStatistics.hitRatio.value,
|
||||
tradingEngine.episode.episodeStatistics.ROI.value,
|
||||
tradingEngine.episode.episodeCounters.periods,
|
||||
tradingEngine.episode.episodeStatistics.days,
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value,
|
||||
tradingEngine.current.position.rate.value,
|
||||
tradingEngine.last.position.ROI.value,
|
||||
tradingEngine.current.position.takeProfit.value,
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value,
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value,
|
||||
tradingEngine.current.position.size.value,
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance,
|
||||
sessionParameters.sessionBaseAsset.config.minimumBalance,
|
||||
sessionParameters.sessionBaseAsset.config.maximumBalance,
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance,
|
||||
sessionParameters.sessionQuotedAsset.config.minimumBalance,
|
||||
sessionParameters.sessionQuotedAsset.config.maximumBalance,
|
||||
'"' + sessionParameters.sessionBaseAsset.name + '"',
|
||||
'"' + sessionParameters.sessionQuotedAsset.name + '"',
|
||||
'"' + bot.market.marketBaseAsset + '"',
|
||||
'"' + bot.market.marketQuotedAsset + '"',
|
||||
tradingEngine.current.position.positionCounters.periods.value,
|
||||
tradingEngine.current.position.positionStatistics.days.value
|
||||
]
|
||||
|
||||
recordsArray.push(simulationRecord)
|
||||
}
|
||||
|
||||
function addConditionsRecord() {
|
||||
/* Prepare the information for the Conditions File */
|
||||
let conditionsRecord = [
|
||||
candle.begin,
|
||||
candle.end,
|
||||
tradingEngine.current.strategy.index.value,
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value,
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value,
|
||||
conditionsValues,
|
||||
formulasErrors,
|
||||
formulasValues
|
||||
]
|
||||
|
||||
conditionsArray.push(conditionsRecord)
|
||||
}
|
||||
|
||||
function addStrategyRecord() {
|
||||
/*
|
||||
Lets see if there will be an open strategy ...
|
||||
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
|
||||
*/
|
||||
if (tradingEngine.current.strategy.begin.value !== 0 && tradingEngine.current.strategy.end.value === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
|
||||
tradingEngine.current.strategy.status.value = 'Open'
|
||||
tradingEngine.current.strategy.end.value = candle.end
|
||||
}
|
||||
|
||||
/* Prepare the information for the Strategies File */
|
||||
if (tradingEngine.current.strategy.begin.value !== 0 && tradingEngine.current.strategy.end.value !== 0) {
|
||||
let strategyRecord = [
|
||||
tradingEngine.current.strategy.begin.value,
|
||||
tradingEngine.current.strategy.end.value,
|
||||
tradingEngine.current.strategy.status.value,
|
||||
tradingEngine.current.strategy.index.value,
|
||||
tradingEngine.current.strategy.beginRate.value,
|
||||
tradingEngine.current.strategy.endRate.value,
|
||||
'"' + tradingEngine.current.strategy.situationName.value + '"',
|
||||
'"' + tradingEngine.current.strategy.strategyName.value + '"'
|
||||
]
|
||||
|
||||
strategiesArray.push(strategyRecord)
|
||||
|
||||
inializeCurrentStrategy()
|
||||
}
|
||||
}
|
||||
|
||||
function addPositionRecord() {
|
||||
/*
|
||||
Lets see if there will be an open trade ...
|
||||
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
|
||||
*/
|
||||
if (tradingEngine.current.position.begin.value !== 0 &&
|
||||
tradingEngine.current.position.end.value === 0 &&
|
||||
currentCandleIndex === candles.length - 2 &&
|
||||
lastCandle.end !== lastInstantOfTheDay) {
|
||||
|
||||
/* This means the trade is open */
|
||||
tradingEngine.current.position.status.value = 2
|
||||
tradingEngine.current.position.end.value = candle.end
|
||||
tradingEngine.current.position.endRate.value = candle.close
|
||||
|
||||
/* Here we will calculate the ongoing ROI */
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
tradingEngine.current.position.positionStatistics.ROI.value = (tradingEngine.current.position.rate.value - candle.close) / tradingEngine.current.position.rate.value * 100
|
||||
} else {
|
||||
tradingEngine.current.position.positionStatistics.ROI.value = (candle.close - tradingEngine.current.position.rate.value) / tradingEngine.current.position.rate.value * 100
|
||||
}
|
||||
}
|
||||
|
||||
/* Prepare the information for the Positions File */
|
||||
if (tradingEngine.current.position.begin.value !== 0 && tradingEngine.current.position.end.value !== 0) {
|
||||
let positionRecord = [
|
||||
tradingEngine.current.position.begin.value,
|
||||
tradingEngine.current.position.end.value,
|
||||
tradingEngine.current.position.status.value,
|
||||
tradingEngine.current.position.positionStatistics.ROI.value,
|
||||
tradingEngine.current.position.beginRate.value,
|
||||
tradingEngine.current.position.endRate.value,
|
||||
tradingEngine.current.position.exitType.value,
|
||||
'"' + tradingEngine.current.position.situationName.value + '"'
|
||||
]
|
||||
|
||||
positionsArray.push(positionRecord)
|
||||
|
||||
initializeCurrentPosition()
|
||||
}
|
||||
}
|
||||
}
|
||||
+52
-652
@@ -84,6 +84,26 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
let tradingEngineModule = TRADING_ENGINE_MODULE.newTradingEngine(bot, logger)
|
||||
tradingEngineModule.initialize()
|
||||
|
||||
const TRADING_ENGINE_MODULE = require('./TradingExecution.js')
|
||||
let tradingExecutionModule = TRADING_ENGINE_MODULE.newTradingExecution(bot, logger)
|
||||
tradingExecutionModule.initialize()
|
||||
|
||||
const TRADING_RECORDS_MODULE = require('./TradingRecords.js')
|
||||
let tradingRecordsModule = TRADING_RECORDS_MODULE.newTradingRecords(bot, logger)
|
||||
tradingRecordsModule.initialize()
|
||||
|
||||
const SNAPSHOTS_MODULE = require('./Snapshots.js')
|
||||
let snapshotsModule = SNAPSHOTS_MODULE.newSnapshots(bot, logger)
|
||||
snapshotsModule.initialize()
|
||||
|
||||
const ANNOUNCEMENTS_MODULE = require('./Announcements.js')
|
||||
let announcementsModule = ANNOUNCEMENTS_MODULE.newAnnouncements(bot, logger)
|
||||
announcementsModule.initialize()
|
||||
|
||||
const TRADING_SYSTEM_MODULE = require('./TradingSystem.js')
|
||||
let tradingSystemModule = TRADING_SYSTEM_MODULE.newTradingSystem(bot, logger)
|
||||
tradingSystemModule.initialize()
|
||||
|
||||
/* Main Array and Maps */
|
||||
let propertyName = 'at' + sessionParameters.timeFrame.config.label.replace('-', '')
|
||||
let candles = chart[propertyName].candles
|
||||
@@ -292,9 +312,9 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
}
|
||||
}
|
||||
|
||||
const TRADING_SYSTEM_MODULE = require('./TradingSystem.js')
|
||||
let tradingSystemModule = TRADING_SYSTEM_MODULE.newTradingSystem(bot, logger)
|
||||
tradingSystemModule.initialize(chart, candle)
|
||||
|
||||
tradingSystemModule.setCandle(candle)
|
||||
tradingSystemModule.setChart(chart)
|
||||
tradingSystemModule.evalConditions()
|
||||
tradingSystemModule.evalFormulas()
|
||||
|
||||
@@ -373,455 +393,26 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
closePositionNow = tradingSystemModule.checkStopLossOrTakeProfitWasHit()
|
||||
}
|
||||
|
||||
tradingSystemModule.finalize()
|
||||
|
||||
|
||||
/* Taking a Position */
|
||||
if (
|
||||
takePositionNow === true
|
||||
) {
|
||||
takePositionNow = false
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Entering code block.') }
|
||||
|
||||
/* Inicializing this counter */
|
||||
tradingEngine.current.distanceToEvent.takePosition.value = 1
|
||||
|
||||
/* Position size and rate */
|
||||
tradingEngine.current.position.size.value = getPositionSize()
|
||||
tradingEngine.current.position.rate.value = getPositionRate()
|
||||
|
||||
/* We take what was calculated at the formula and apply the slippage. */
|
||||
let slippageAmount = tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.slippage.positionRate / 100
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value - slippageAmount
|
||||
} else {
|
||||
tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value + slippageAmount
|
||||
}
|
||||
|
||||
if (bot.startMode === 'Live') {
|
||||
logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> Taking a Position in Live Mode.')
|
||||
logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> tradingEngine.current.position.size.value = ' + tradingEngine.current.position.size.value)
|
||||
logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> tradingEngine.current.position.rate.value = ' + tradingEngine.current.position.rate.value)
|
||||
logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> slippageAmount = ' + slippageAmount)
|
||||
logger.write(MODULE_NAME, '[PERSIST] runSimulation -> loop -> takePositionNow -> tradingEngine.current.position.rate.value = ' + tradingEngine.current.position.rate.value)
|
||||
}
|
||||
|
||||
/* Update the trade record information. */
|
||||
tradingEngine.current.position.begin.value = candle.begin
|
||||
tradingEngine.current.position.beginRate.value = tradingEngine.current.position.rate.value
|
||||
|
||||
/* Check if we need to execute. */
|
||||
if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not. */
|
||||
/* Check that we are in LIVE MODE */
|
||||
if (bot.startMode === 'Live') {
|
||||
/* We see if we need to put the actual order at the exchange. */
|
||||
if (variable.executionContext !== undefined) {
|
||||
switch (variable.executionContext.status) {
|
||||
case 'Without a Position': { // We need to put the order because It was not put yet.
|
||||
if (strategy.openStage !== undefined) {
|
||||
if (strategy.openStage.openExecution !== undefined) {
|
||||
putOpeningOrder()
|
||||
return
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Position Closed': { // Waiting for a confirmation that the position was closed.
|
||||
if (strategy.openStage !== undefined) {
|
||||
if (strategy.openStage.openExecution !== undefined) {
|
||||
putOpeningOrder()
|
||||
return
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Taking Position': { // Waiting for a confirmation that the position was taken.
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is Taking Position.') }
|
||||
break
|
||||
}
|
||||
case 'In a Position': { // This should mean that we already put the order at the exchange.
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Exiting code block because status is In a Position.') }
|
||||
break
|
||||
}
|
||||
}
|
||||
} else { // The context does not exist so it means we are not in a position.
|
||||
if (strategy.openStage !== undefined) {
|
||||
if (strategy.openStage.openExecution !== undefined) {
|
||||
putOpeningOrder()
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
} else {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Not trading live.') }
|
||||
}
|
||||
} else {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionNow -> Not the last closed candle.') }
|
||||
}
|
||||
|
||||
takePositionAtSimulation()
|
||||
|
||||
return
|
||||
|
||||
function putOpeningOrder() {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Entering function.') }
|
||||
|
||||
/* We wont take a position unless we are withing the sessionParameters.timeRange.config.initialDatetime and the sessionParameters.timeRange.config.finalDatetime range */
|
||||
if (sessionParameters.timeRange.config.initialDatetime !== undefined) {
|
||||
if (candle.end < sessionParameters.timeRange.config.initialDatetime.valueOf()) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because current candle ends before the start date. -> sessionParameters.timeRange.config.initialDatetime = ' + sessionParameters.timeRange.config.initialDatetime) }
|
||||
takePositionAtSimulation()
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
/* We wont take a position if we are past the final datetime */
|
||||
if (sessionParameters.timeRange.config.finalDatetime !== undefined) {
|
||||
if (candle.begin > sessionParameters.timeRange.config.finalDatetime.valueOf()) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> putOpeningOrder -> Not placing the trade at the exchange because current candle begins after the end date. -> sessionParameters.timeRange.config.finalDatetime = ' + sessionParameters.timeRange.config.finalDatetime) }
|
||||
takePositionAtSimulation()
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
/* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
|
||||
if (variable.executionContext !== undefined) {
|
||||
if (variable.executionContext.periods !== undefined) {
|
||||
if (tradingEngine.episode.episodeCounters.periods <= variable.executionContext.periods) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because it was already placed at a previous execution.') }
|
||||
takePositionAtSimulation()
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
/* We are not going to place orders based on outdated information. The next filter prevents firing orders when backtesting. */
|
||||
if (currentDay) {
|
||||
let today = new Date(Math.trunc((new Date().valueOf()) / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
|
||||
let processDay = new Date(Math.trunc(currentDay.valueOf() / ONE_DAY_IN_MILISECONDS) * ONE_DAY_IN_MILISECONDS)
|
||||
if (today.valueOf() !== processDay.valueOf()) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> Not placing the trade at the exchange because the current candle belongs to the previous day and that is considered simulation and not live trading.') }
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> today = ' + today) }
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putOpeningOrder -> processDay = ' + processDay) }
|
||||
takePositionAtSimulation()
|
||||
return
|
||||
}
|
||||
}
|
||||
|
||||
let orderPrice
|
||||
let amountA
|
||||
let amountB
|
||||
let orderSide
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
orderSide = 'sell'
|
||||
|
||||
orderPrice = tradingEngine.current.position.rate.value
|
||||
|
||||
amountA = tradingEngine.current.position.size.value * orderPrice
|
||||
amountB = tradingEngine.current.position.size.value
|
||||
} else {
|
||||
orderSide = 'buy'
|
||||
|
||||
orderPrice = tradingEngine.current.position.rate.value
|
||||
|
||||
amountA = tradingEngine.current.position.size.value
|
||||
amountB = tradingEngine.current.position.size.value / orderPrice
|
||||
}
|
||||
|
||||
variable.executionContext = {
|
||||
status: 'Taking Position',
|
||||
periods: tradingEngine.episode.episodeCounters.periods
|
||||
}
|
||||
|
||||
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 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 -> onOrderCreated -> DEFAULT_OK_RESPONSE ') }
|
||||
variable.executionContext = {
|
||||
status: 'In a Position',
|
||||
periods: tradingEngine.episode.episodeCounters.periods,
|
||||
amountA: amountA,
|
||||
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 -> 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 -> 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 -> onOrderCreated -> Unexpected Response -> Message = ' + err.message) }
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
||||
return
|
||||
} catch (err) {
|
||||
logger.write(MODULE_NAME, '[ERROR] runSimulation -> loop -> putOpeningOrder -> onOrderCreated -> err = ' + err.stack)
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function takePositionAtSimulation() {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionAtSimulation -> Entering function.') }
|
||||
|
||||
/* Continue with the simulation */
|
||||
calculateTakeProfit()
|
||||
calculateStopLoss()
|
||||
|
||||
tradingEngine.previous.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value
|
||||
tradingEngine.previous.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value
|
||||
|
||||
tradingEngine.last.position.profitLoss.value = 0
|
||||
tradingEngine.last.position.ROI.value = 0
|
||||
|
||||
let feePaid = 0
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
|
||||
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid
|
||||
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.current.position.size.value
|
||||
} else {
|
||||
feePaid = tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
|
||||
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.position.size.value / tradingEngine.current.position.rate.value - feePaid
|
||||
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.current.position.size.value
|
||||
}
|
||||
|
||||
addRecords()
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> takePositionAtSimulation -> Exiting Loop Body after taking position at simulation.') }
|
||||
controlLoop()
|
||||
return
|
||||
}
|
||||
tradingEngineModule.getReadyToTakePosition(candle)
|
||||
tradingExecutionModule.takePosition()
|
||||
tradingEngineModule.takePosition()
|
||||
}
|
||||
|
||||
if (closePositionNow === true) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Entering code block.') }
|
||||
|
||||
/* Closing a Position */
|
||||
if (
|
||||
closePositionNow === true
|
||||
) {
|
||||
closePositionNow = false
|
||||
|
||||
/* Inicializing this counter */
|
||||
tradingEngine.current.distanceToEvent.closePosition.value = 1
|
||||
|
||||
/* Position size and rate */
|
||||
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
|
||||
|
||||
if (currentCandleIndex > candles.length - 10) { /* Only at the last candles makes sense to check if we are in live mode or not. */
|
||||
/* Check that we are in LIVE MODE */
|
||||
if (bot.startMode === 'Live') {
|
||||
/* We see if we need to put the actual order at the exchange. */
|
||||
if (variable.executionContext !== undefined) {
|
||||
switch (variable.executionContext.status) {
|
||||
case 'Without a Position': { // No way to close anything at the exchange.
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Without a Position.') }
|
||||
break
|
||||
}
|
||||
case 'In a Position': { // This should mean that we already put the order at the exchange.
|
||||
if (strategy.closeStage !== undefined) {
|
||||
if (strategy.closeStage.closeExecution !== undefined) {
|
||||
putClosingOrder()
|
||||
return
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
case 'Closing Position': { // Waiting for a confirmation that the position was taken.
|
||||
if (strategy.closeStage !== undefined) {
|
||||
if (strategy.closeStage.closeExecution !== undefined) {
|
||||
putClosingOrder()
|
||||
return
|
||||
}
|
||||
}
|
||||
break
|
||||
}
|
||||
|
||||
case 'Position Closed': { //
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Exiting code block because status is Position Closed.') }
|
||||
break
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
} else {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Closing a Position -> Not within the last 10 candles.') }
|
||||
}
|
||||
|
||||
closePositionAtSimulation()
|
||||
return
|
||||
|
||||
function putClosingOrder() {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> putClosingOrder -> Entering function.') }
|
||||
|
||||
/* Mechanism to avoid putting the same order over and over again at different executions of the simulation engine. */
|
||||
if (variable.executionContext !== undefined) {
|
||||
if (variable.executionContext.periods !== undefined) {
|
||||
if (tradingEngine.episode.episodeCounters.periods <= variable.executionContext.periods) {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> Exiting function because this closing was already submited at a previous execution.') }
|
||||
closePositionAtSimulation()
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
let orderPrice
|
||||
let amountA
|
||||
let amountB
|
||||
let orderSide
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
orderSide = 'buy'
|
||||
|
||||
orderPrice = ticker.last + 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
|
||||
|
||||
amountA = tradingEngine.current.balance.quotedAsset.value
|
||||
amountB = tradingEngine.current.balance.quotedAsset.value / orderPrice
|
||||
} else {
|
||||
orderSide = 'sell'
|
||||
|
||||
orderPrice = ticker.last - 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
|
||||
|
||||
amountA = tradingEngine.current.balance.baseAsset.value * orderPrice
|
||||
amountB = tradingEngine.current.balance.baseAsset.value
|
||||
}
|
||||
|
||||
variable.executionContext = {
|
||||
status: 'Closing Position',
|
||||
periods: tradingEngine.episode.episodeCounters.periods
|
||||
}
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> putClosingOrder -> About to close position at the exchange.') }
|
||||
exchangeAPI.createOrder(bot.market, orderSide, orderPrice, amountA, amountB, onOrderCreated)
|
||||
|
||||
function onOrderCreated(err, order) {
|
||||
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 -> onOrderCreated -> DEFAULT_OK_RESPONSE ') }
|
||||
variable.executionContext = {
|
||||
status: 'Position Closed',
|
||||
periods: tradingEngine.episode.episodeCounters.periods,
|
||||
amountA: amountA,
|
||||
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 -> 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 -> onOrderCreated -> DEFAULT_RETRY_RESPONSE ') }
|
||||
strategy.closeStage.closeExecution.error = err.message
|
||||
afterLoop()
|
||||
return
|
||||
}
|
||||
}
|
||||
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 -> onOrderCreated -> err = ' + err.stack)
|
||||
callBackFunction(global.DEFAULT_FAIL_RESPONSE)
|
||||
return
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function closePositionAtSimulation() {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> closePositionAtSimulation -> Entering function.') }
|
||||
|
||||
tradingEngine.episode.positionCounters.positions.value++
|
||||
|
||||
let feePaid = 0
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
|
||||
feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
|
||||
tradingEngine.current.balance.baseAsset.value = tradingEngine.current.balance.baseAsset.value + tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value - feePaid
|
||||
tradingEngine.current.balance.quotedAsset.value = 0
|
||||
} else {
|
||||
|
||||
feePaid = tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value * bot.VALUES_TO_USE.feeStructure.taker / 100
|
||||
|
||||
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.balance.baseAsset.value * tradingEngine.current.position.endRate.value - feePaid
|
||||
tradingEngine.current.balance.baseAsset.value = 0
|
||||
}
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.baseAsset.value - tradingEngine.previous.balance.baseAsset.value
|
||||
tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
|
||||
if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.baseAsset.value - sessionParameters.sessionBaseAsset.config.initialBalance
|
||||
} else {
|
||||
tradingEngine.last.position.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - tradingEngine.previous.balance.quotedAsset.value
|
||||
tradingEngine.last.position.ROI.value = tradingEngine.last.position.profitLoss.value * 100 / tradingEngine.current.position.size.value
|
||||
if (isNaN(tradingEngine.last.position.ROI.value)) { tradingEngine.last.position.ROI.value = 0 }
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value = tradingEngine.current.balance.quotedAsset.value - sessionParameters.sessionQuotedAsset.config.initialBalance
|
||||
}
|
||||
|
||||
tradingEngine.current.position.positionStatistics.ROI.value = tradingEngine.last.position.ROI.value
|
||||
|
||||
if (tradingEngine.last.position.profitLoss.value > 0) {
|
||||
tradingEngine.episode.episodeCounters.hits.value++
|
||||
} else {
|
||||
tradingEngine.episode.episodeCounters.fails.value++
|
||||
}
|
||||
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionBaseAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionBaseAsset.config.initialBalance - 1
|
||||
tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days * 365
|
||||
} else {
|
||||
tradingEngine.episode.episodeStatistics.ROI.value = (sessionParameters.sessionQuotedAsset.config.initialBalance + tradingEngine.episode.episodeStatistics.profitLoss.value) / sessionParameters.sessionQuotedAsset.config.initialBalance - 1
|
||||
tradingEngine.episode.episodeStatistics.hitRatio.value = tradingEngine.episode.episodeCounters.hits.value / tradingEngine.episode.positionCounters.positions.value
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value = tradingEngine.episode.episodeStatistics.ROI.value / tradingEngine.episode.episodeStatistics.days * 365
|
||||
}
|
||||
|
||||
addRecords()
|
||||
|
||||
tradingEngine.current.position.stopLoss.value = 0
|
||||
tradingEngine.current.position.takeProfit.value = 0
|
||||
|
||||
tradingEngine.current.position.rate.value = 0
|
||||
tradingEngine.current.position.size.value = 0
|
||||
|
||||
timerToCloseStage = candle.begin
|
||||
tradingEngine.current.position.stopLoss.stopLossStage.value = 'No Stage'
|
||||
tradingEngine.current.position.takeProfit.takeProfitStage.value = 'No Stage'
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value = -1
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value = -1
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> closePositionAtSimulation -> Exiting Loop Body after closing position at simulation.') }
|
||||
controlLoop()
|
||||
return
|
||||
}
|
||||
tradingEngineModule.getReadyToClosePosition(candle)
|
||||
tradingExecutionModule.closePosition()
|
||||
tradingEngineModule.closePosition()
|
||||
}
|
||||
|
||||
/* Closing the Closing Stage */
|
||||
@@ -843,218 +434,23 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
}
|
||||
}
|
||||
|
||||
/* Not a buy or sell condition */
|
||||
snapshotsModule.manageSnapshots()
|
||||
tradingRecordsModule.addSimulationRecord()
|
||||
tradingRecordsModule.addConditionsRecord()
|
||||
tradingRecordsModule.addStrategyRecord()
|
||||
tradingRecordsModule.addPositionRecord()
|
||||
|
||||
/* We will remmember the last candle processed, so that if it is the last one of this run we can use it to continue from there next time. */
|
||||
tradingEngine.last.candle.begin = candle.begin
|
||||
tradingEngine.last.candle.end = candle.end
|
||||
|
||||
/* After everything at the simulation level was done, we will do the annoucements that are pending. */
|
||||
makeAnnoucements()
|
||||
|
||||
|
||||
addRecords()
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Exiting Loop Body after adding a record.') }
|
||||
controlLoop()
|
||||
return
|
||||
|
||||
function addRecords() {
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> addRecords -> Entering function.') }
|
||||
|
||||
manageSnapshots()
|
||||
addSimulationRecord()
|
||||
addConditionsRecord()
|
||||
addStrategyRecord()
|
||||
addPositionRecord()
|
||||
|
||||
/* We will remmember the last candle processed, so that if it is the last one of this run we can use it to continue from there next time. */
|
||||
tradingEngine.last.candle.begin = candle.begin
|
||||
tradingEngine.last.candle.end = candle.end
|
||||
|
||||
/* After everything at the simulation level was done, we will do the annoucements that are pending. */
|
||||
makeAnnoucements()
|
||||
|
||||
function manageSnapshots() {
|
||||
/* Snapshots Management (before we generate the trade record and delete that info) */
|
||||
if (saveAsLastTriggerOnSnapshot === true) {
|
||||
snapshots.lastTriggerOn = snapshotDataRecord
|
||||
saveAsLastTriggerOnSnapshot = false
|
||||
}
|
||||
|
||||
if (saveAsLastTakePositionSnapshot === true) {
|
||||
snapshots.lastTakePosition = snapshotDataRecord
|
||||
saveAsLastTakePositionSnapshot = false
|
||||
}
|
||||
|
||||
if (addToSnapshots === true) {
|
||||
let closeValues = [
|
||||
tradingEngine.episode.positionCounters.positions.value, // Position Number
|
||||
(new Date(candle.begin)).toISOString(), // Datetime
|
||||
tradingSystem.strategies[tradingEngine.current.strategy.index.value].name, // Strategy Name
|
||||
tradingEngine.current.strategy.situationName.value, // Trigger On Situation
|
||||
tradingEngine.current.position.situationName.value, // Take Position Situation
|
||||
hitOrFial(), // Result
|
||||
tradingEngine.last.position.ROI.value, // ROI
|
||||
exitType() // Exit Type
|
||||
]
|
||||
|
||||
function hitOrFial() {
|
||||
if (tradingEngine.last.position.ROI.value > 0) { return 'HIT' } else { return 'FAIL' }
|
||||
}
|
||||
|
||||
function exitType() {
|
||||
switch (tradingEngine.current.position.exitType.value) {
|
||||
case 1: return 'Stop'
|
||||
case 2: return 'Take Profit'
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
if (positionedAtYesterday === false) {
|
||||
snapshots.triggerOn.push(closeValues.concat(snapshots.lastTriggerOn))
|
||||
snapshots.takePosition.push(closeValues.concat(snapshots.lastTakePosition))
|
||||
}
|
||||
snapshots.lastTriggerOn = undefined
|
||||
snapshots.lastTakePosition = undefined
|
||||
addToSnapshots = false
|
||||
}
|
||||
|
||||
let closeHeaders = ['Trade Number', 'Close Datetime', 'Strategy', 'Trigger On Situation', 'Take Position Situation', 'Result', 'ROI', 'Exit Type']
|
||||
if (snapshots.headers === undefined) {
|
||||
snapshots.headers = closeHeaders.concat(JSON.parse(JSON.stringify(snapshotLoopHeaders)))
|
||||
}
|
||||
}
|
||||
|
||||
function addSimulationRecord() {
|
||||
/* Simulation Record */
|
||||
let simulationRecord
|
||||
|
||||
if (tradingEngine.current.balance.baseAsset.value === Infinity) {
|
||||
tradingEngine.current.balance.baseAsset.value = Number.MAX_SAFE_INTEGER
|
||||
}
|
||||
|
||||
if (tradingEngine.current.balance.quotedAsset.value === Infinity) {
|
||||
tradingEngine.current.balance.quotedAsset.value = Number.MAX_SAFE_INTEGER
|
||||
}
|
||||
|
||||
simulationRecord = [
|
||||
candle.begin,
|
||||
candle.end,
|
||||
tradingEngine.current.balance.baseAsset.value,
|
||||
tradingEngine.current.balance.quotedAsset.value,
|
||||
tradingEngine.episode.episodeStatistics.profitLoss.value,
|
||||
tradingEngine.last.position.profitLoss.value,
|
||||
tradingEngine.current.position.stopLoss.value,
|
||||
tradingEngine.episode.positionCounters.positions.value,
|
||||
tradingEngine.episode.episodeCounters.hits.value,
|
||||
tradingEngine.episode.episodeCounters.fails.value,
|
||||
tradingEngine.episode.episodeStatistics.hitRatio.value,
|
||||
tradingEngine.episode.episodeStatistics.ROI.value,
|
||||
tradingEngine.episode.episodeCounters.periods,
|
||||
tradingEngine.episode.episodeStatistics.days,
|
||||
tradingEngine.episode.episodeStatistics.anualizedRateOfReturn.value,
|
||||
tradingEngine.current.position.rate.value,
|
||||
tradingEngine.last.position.ROI.value,
|
||||
tradingEngine.current.position.takeProfit.value,
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value,
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value,
|
||||
tradingEngine.current.position.size.value,
|
||||
sessionParameters.sessionBaseAsset.config.initialBalance,
|
||||
sessionParameters.sessionBaseAsset.config.minimumBalance,
|
||||
sessionParameters.sessionBaseAsset.config.maximumBalance,
|
||||
sessionParameters.sessionQuotedAsset.config.initialBalance,
|
||||
sessionParameters.sessionQuotedAsset.config.minimumBalance,
|
||||
sessionParameters.sessionQuotedAsset.config.maximumBalance,
|
||||
'"' + sessionParameters.sessionBaseAsset.name + '"',
|
||||
'"' + sessionParameters.sessionQuotedAsset.name + '"',
|
||||
'"' + bot.market.marketBaseAsset + '"',
|
||||
'"' + bot.market.marketQuotedAsset + '"',
|
||||
tradingEngine.current.position.positionCounters.periods.value,
|
||||
tradingEngine.current.position.positionStatistics.days.value
|
||||
]
|
||||
|
||||
recordsArray.push(simulationRecord)
|
||||
}
|
||||
|
||||
function addConditionsRecord() {
|
||||
/* Prepare the information for the Conditions File */
|
||||
let conditionsRecord = [
|
||||
candle.begin,
|
||||
candle.end,
|
||||
tradingEngine.current.strategy.index.value,
|
||||
tradingEngine.current.position.stopLoss.stopLossPhase.value,
|
||||
tradingEngine.current.position.takeProfit.takeProfitPhase.value,
|
||||
conditionsValues,
|
||||
formulasErrors,
|
||||
formulasValues
|
||||
]
|
||||
|
||||
conditionsArray.push(conditionsRecord)
|
||||
}
|
||||
|
||||
function addStrategyRecord() {
|
||||
/*
|
||||
Lets see if there will be an open strategy ...
|
||||
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
|
||||
*/
|
||||
if (tradingEngine.current.strategy.begin.value !== 0 && tradingEngine.current.strategy.end.value === 0 && currentCandleIndex === candles.length - 2 && lastCandle.end !== lastInstantOfTheDay) {
|
||||
tradingEngine.current.strategy.status.value = 'Open'
|
||||
tradingEngine.current.strategy.end.value = candle.end
|
||||
}
|
||||
|
||||
/* Prepare the information for the Strategies File */
|
||||
if (tradingEngine.current.strategy.begin.value !== 0 && tradingEngine.current.strategy.end.value !== 0) {
|
||||
let strategyRecord = [
|
||||
tradingEngine.current.strategy.begin.value,
|
||||
tradingEngine.current.strategy.end.value,
|
||||
tradingEngine.current.strategy.status.value,
|
||||
tradingEngine.current.strategy.index.value,
|
||||
tradingEngine.current.strategy.beginRate.value,
|
||||
tradingEngine.current.strategy.endRate.value,
|
||||
'"' + tradingEngine.current.strategy.situationName.value + '"',
|
||||
'"' + tradingEngine.current.strategy.strategyName.value + '"'
|
||||
]
|
||||
|
||||
strategiesArray.push(strategyRecord)
|
||||
|
||||
inializeCurrentStrategy()
|
||||
}
|
||||
}
|
||||
|
||||
function addPositionRecord() {
|
||||
/*
|
||||
Lets see if there will be an open trade ...
|
||||
Except if we are at the head of the market (remember we skipped the last candle for not being closed.)
|
||||
*/
|
||||
if (tradingEngine.current.position.begin.value !== 0 &&
|
||||
tradingEngine.current.position.end.value === 0 &&
|
||||
currentCandleIndex === candles.length - 2 &&
|
||||
lastCandle.end !== lastInstantOfTheDay) {
|
||||
|
||||
/* This means the trade is open */
|
||||
tradingEngine.current.position.status.value = 2
|
||||
tradingEngine.current.position.end.value = candle.end
|
||||
tradingEngine.current.position.endRate.value = candle.close
|
||||
|
||||
/* Here we will calculate the ongoing ROI */
|
||||
if (sessionParameters.sessionBaseAsset.name === bot.market.marketBaseAsset) {
|
||||
tradingEngine.current.position.positionStatistics.ROI.value = (tradingEngine.current.position.rate.value - candle.close) / tradingEngine.current.position.rate.value * 100
|
||||
} else {
|
||||
tradingEngine.current.position.positionStatistics.ROI.value = (candle.close - tradingEngine.current.position.rate.value) / tradingEngine.current.position.rate.value * 100
|
||||
}
|
||||
}
|
||||
|
||||
/* Prepare the information for the Positions File */
|
||||
if (tradingEngine.current.position.begin.value !== 0 && tradingEngine.current.position.end.value !== 0) {
|
||||
let positionRecord = [
|
||||
tradingEngine.current.position.begin.value,
|
||||
tradingEngine.current.position.end.value,
|
||||
tradingEngine.current.position.status.value,
|
||||
tradingEngine.current.position.positionStatistics.ROI.value,
|
||||
tradingEngine.current.position.beginRate.value,
|
||||
tradingEngine.current.position.endRate.value,
|
||||
tradingEngine.current.position.exitType.value,
|
||||
'"' + tradingEngine.current.position.situationName.value + '"'
|
||||
]
|
||||
|
||||
positionsArray.push(positionRecord)
|
||||
|
||||
initializeCurrentPosition()
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
function checkAnnouncements(node, value) {
|
||||
/*
|
||||
@@ -1231,8 +627,12 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> afterLoop -> Entering function.') }
|
||||
|
||||
tradingEngineModule.finalize()
|
||||
tradingExecutionModule.finalize()
|
||||
tradingSystemModule.finalize()
|
||||
tradingRecordsModule.finalize()
|
||||
snapshotsModule.finalize()
|
||||
announcementsModule.finalize()
|
||||
|
||||
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> callback -> recordsArray.length = ' + recordsArray.length) }
|
||||
|
||||
callback(tradingSystem, snapshots.headers, snapshots.triggerOn, snapshots.takePosition)
|
||||
}
|
||||
|
||||
@@ -4,6 +4,8 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
const FULL_LOG = true
|
||||
|
||||
let thisObject = {
|
||||
setCandle: setCandle,
|
||||
setChart: setChart,
|
||||
evalConditions: evalConditions,
|
||||
evalFormulas: evalFormulas,
|
||||
checkTriggerOn: checkTriggerOn,
|
||||
@@ -22,6 +24,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
|
||||
let chart
|
||||
let candle
|
||||
|
||||
let tradingSystem
|
||||
let tradingEngine
|
||||
|
||||
@@ -35,9 +38,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
|
||||
return thisObject
|
||||
|
||||
function initialize(pChart, pCandle) {
|
||||
chart = pChart
|
||||
candle = pCandle
|
||||
function initialize() {
|
||||
tradingSystem = bot.TRADING_SYSTEM
|
||||
tradingEngine = bot.TRADING_ENGINE
|
||||
}
|
||||
@@ -57,6 +58,14 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
|
||||
formulasErrors = undefined
|
||||
}
|
||||
|
||||
function setCandle(pCandle) {
|
||||
candle = pCandle // We need candle to be a local object accessible from conditions and formulas.
|
||||
}
|
||||
|
||||
function setChart(pChart) {
|
||||
chart = pChart // We need chat to be a local object accessible from conditions and formulas.
|
||||
}
|
||||
|
||||
function evalConditions() {
|
||||
evalNode(bot.TRADING_SYSTEM, 'Conditions')
|
||||
}
|
||||
|
||||
Reference in new issue
Block a user