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Final Polishing Iteration done

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Luis Fernando Molina committed 2020-08-08 12:52:24 +02:00
1 parent b0add9b805
commit b312313586
13 files changed
+359 -333
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TaskServer/LowFrequencyTrading/TradingSimulation.js
+41 -32
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@@ -69,10 +69,10 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
let diff = lastBegin - firstBegin
let amount = diff / sessionParameters.timeFrame.config.value
tradingEngine.current.candle.index.value = Math.trunc(amount) + 1 // Because we need to start from the next candle
if (tradingEngine.current.candle.index.value < 0 || tradingEngine.current.candle.index.value > candles.length - 1) {
tradingEngine.current.episode.candle.index.value = Math.trunc(amount) + 1 // Because we need to start from the next candle
if (tradingEngine.current.episode.candle.index.value < 0 || tradingEngine.current.episode.candle.index.value > candles.length - 1) {
logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> Cannot resume simulation.')
logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> tradingEngine.current.candle.index.value = ' + tradingEngine.current.candle.index.value)
logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> tradingEngine.current.episode.candle.index.value = ' + tradingEngine.current.episode.candle.index.value)
logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> firstBegin = ' + firstBegin)
logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> lastBegin = ' + lastBegin)
logger.write(MODULE_NAME, '[ERROR] runSimulation -> initializeLoop -> diff = ' + diff)
@@ -88,14 +88,14 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
let diff = targetEnd - firstEnd
let amount = diff / sessionParameters.timeFrame.config.value
tradingEngine.current.candle.index.value = Math.trunc(amount)
if (tradingEngine.current.candle.index.value < 0) { tradingEngine.current.candle.index.value = 0 }
if (tradingEngine.current.candle.index.value > candles.length - 1) {
tradingEngine.current.episode.candle.index.value = Math.trunc(amount)
if (tradingEngine.current.episode.candle.index.value < 0) { tradingEngine.current.episode.candle.index.value = 0 }
if (tradingEngine.current.episode.candle.index.value > candles.length - 1) {
/*
This will happen when the sessionParameters.timeRange.config.initialDatetime is beyond the last candle available,
meaning that the dataSet needs to be updated with more up-to-date data.
*/
tradingEngine.current.candle.index.value = candles.length - 1
tradingEngine.current.episode.candle.index.value = candles.length - 1
}
}
@@ -103,8 +103,8 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
async function loop() {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + tradingEngine.current.candle.index.value) }
let candle = candles[tradingEngine.current.candle.index.value] // This is the current candle the Simulation is working at.
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Processing candle # ' + tradingEngine.current.episode.candle.index.value) }
let candle = candles[tradingEngine.current.episode.candle.index.value] // This is the current candle the Simulation is working at.
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle Begin @ ' + (new Date(candle.begin)).toLocaleString()) }
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Candle End @ ' + (new Date(candle.end)).toLocaleString()) }
@@ -140,11 +140,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
/* Do the stuff needed previous to the run */
tradingSystemModule.mantain()
/* Episode Counters and Statistics */
tradingEpisodeModule.updateCounters()
tradingEpisodeModule.updateStatistics()
/* Episode Counters and Statistics update */
tradingEpisodeModule.mantain()
tradingEngineModule.updateDistanceToEventsCounters()
/* Run your maintaince procedure */
tradingEngineModule.mantain()
/* Run one cycle of the Trading System*/
await tradingSystemModule.run()
@@ -157,23 +157,23 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
if (bot.STOP_SESSION === true) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.') }
console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this session.')
closeEpisode('Session Stopped')
updateEpisode('Session Stopped')
return
}
if (global.STOP_TASK_GRACEFULLY === true) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.') }
console.log('[INFO] runSimulation -> controlLoop -> We are going to stop here bacause we were requested to stop processing this task.')
closeEpisode('Task Stopped')
updateEpisode('Task Stopped')
return
}
if (tradingEngine.current.candle.index.value + 1 < candles.length) {
if (tradingEngine.current.episode.candle.index.value + 1 < candles.length) {
/* Add new records to the process output */
tradingRecordsModule.appendRecords()
tradingEngine.current.candle.index.value++
tradingEngine.current.episode.candle.index.value++
setImmediate(loop) // This will execute the next loop in the next iteration of the NodeJs event loop allowing for other callbacks to be executed.
} else {
@@ -182,7 +182,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
function closeEpisode(exitType) {
tradingEpisodeModule.closingEpisode(exitType)
tradingEpisodeModule.updateExitType(exitType)
tradingEpisodeModule.closeEpisode()
/* Add new records to the process output */
@@ -191,6 +191,15 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
afterLoop()
}
function updateEpisode(exitType) {
tradingEpisodeModule.updateExitType(exitType)
/* Add new records to the process output */
tradingRecordsModule.appendRecords()
afterLoop()
}
function afterLoop() {
tradingEngineModule.finalize()
@@ -208,11 +217,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
function heartBeat() {
/* We will produce a simulation level heartbeat in order to inform the user this is running. */
heartBeatDate = new Date(Math.trunc(tradingEngine.current.candle.begin.value / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
heartBeatDate = new Date(Math.trunc(tradingEngine.current.episode.candle.begin.value / global.ONE_DAY_IN_MILISECONDS) * global.ONE_DAY_IN_MILISECONDS)
if (heartBeatDate.valueOf() !== previousHeartBeatDate) {
let processingDate = heartBeatDate.getUTCFullYear() + '-' + utilities.pad(heartBeatDate.getUTCMonth() + 1, 2) + '-' + utilities.pad(heartBeatDate.getUTCDate(), 2)
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + tradingEngine.current.candle.index.value + ' @ ' + processingDate) }
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> loop -> Simulation ' + bot.sessionKey + ' Loop # ' + tradingEngine.current.episode.candle.index.value + ' @ ' + processingDate) }
/* Telling the world we are alive and doing well */
let fromDate = new Date(sessionParameters.timeRange.config.initialDatetime)
@@ -305,15 +314,15 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
for (let i = 0; i < pArray.length; i++) {
element = pArray[i]
if (tradingEngine.current.candle.end.value === element.end) { // when there is an exact match at the end we take that element
if (tradingEngine.current.episode.candle.end.value === element.end) { // when there is an exact match at the end we take that element
return element
} else {
if (
i > 0 &&
element.end > tradingEngine.current.candle.end.value
element.end > tradingEngine.current.episode.candle.end.value
) {
let previousElement = pArray[i - 1]
if (previousElement.end < tradingEngine.current.candle.end.value) {
if (previousElement.end < tradingEngine.current.episode.candle.end.value) {
return previousElement // If one elements goes into the future of currentCandle, then we stop and take the previous element.
} else {
return
@@ -336,7 +345,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
*/
if (bot.processingDailyFiles) { // We are processing Daily Files
let candlesPerDay = global.ONE_DAY_IN_MILISECONDS / sessionParameters.timeFrame.config.value
if (tradingEngine.current.candle.index.value === candles.length - 1) {
if (tradingEngine.current.episode.candle.index.value === candles.length - 1) {
if ((candles.length < candlesPerDay) || (candles.length > candlesPerDay && candles.length < candlesPerDay * 2)) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkLastCandle -> Skipping Candle because it is the last one and has not been closed yet.') }
return false
@@ -347,7 +356,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
}
} else { // We are processing Market Files
if (tradingEngine.current.candle.index.value === candles.length - 1) {
if (tradingEngine.current.episode.candle.index.value === candles.length - 1) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkLastCandle -> Skipping Candle because it is the last one and has not been closed yet.') }
return false
}
@@ -357,11 +366,11 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
function checkInitialAndFinalDatetime() {
/* Here we check that the current candle is not outside of user-defined time range at the session parameters.*/
if (tradingEngine.current.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
if (tradingEngine.current.episode.candle.end.value < sessionParameters.timeRange.config.initialDatetime) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle before the sessionParameters.timeRange.config.initialDatetime.') }
return false
}
if (tradingEngine.current.candle.begin.value > sessionParameters.timeRange.config.finalDatetime) {
if (tradingEngine.current.episode.candle.begin.value > sessionParameters.timeRange.config.finalDatetime) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] runSimulation -> checkInitialAndFinalDatetime -> Skipping Candle after the sessionParameters.timeRange.config.finalDatetime.') }
return false
}
@@ -378,10 +387,10 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
because there the balances have shifted from their resting position.
*/
let stopRunningDate = (new Date(tradingEngine.current.candle.begin.value)).toLocaleString()
let stopRunningDate = (new Date(tradingEngine.current.episode.candle.begin.value)).toLocaleString()
if (sessionParameters.sessionBaseAsset.config.minimumBalance !== undefined) {
if (tradingEngine.current.balance.baseAsset.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
if (tradingEngine.current.episode.episodeBaseAsset.balance.value <= sessionParameters.sessionBaseAsset.config.minimumBalance) {
const errorMessage = 'Min Balance reached @ ' + stopRunningDate
tradingSystem.errors.push([tradingSystem.id, errorMessage])
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
@@ -390,7 +399,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
if (sessionParameters.sessionBaseAsset.config.maximumBalance !== undefined) {
if (tradingEngine.current.balance.baseAsset.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
if (tradingEngine.current.episode.episodeBaseAsset.balance.value >= sessionParameters.sessionBaseAsset.config.maximumBalance) {
const errorMessage = 'Max Balance reached @ ' + stopRunningDate
tradingSystem.errors.push([tradingSystem.id, errorMessage])
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
@@ -399,7 +408,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
if (sessionParameters.sessionQuotedAsset.config.minimumBalance !== undefined) {
if (tradingEngine.current.balance.quotedAsset.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
if (tradingEngine.current.episode.episodeQuotedAsset.balance.value <= sessionParameters.sessionQuotedAsset.config.minimumBalance) {
const errorMessage = 'Min Balance reached @ ' + stopRunningDate
tradingSystem.errors.push([tradingSystem.id, errorMessage])
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }
@@ -408,7 +417,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
}
if (sessionParameters.sessionQuotedAsset.config.maximumBalance !== undefined) {
if (tradingEngine.current.balance.quotedAsset.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
if (tradingEngine.current.episode.episodeQuotedAsset.balance.value >= sessionParameters.sessionQuotedAsset.config.maximumBalance) {
const errorMessage = 'Max Balance reached @ ' + stopRunningDate
tradingSystem.errors.push([tradingSystem.id, errorMessage])
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[WARN] runSimulation -> checkMinimunAndMaximunBalance -> ' + errorMessage) }