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Luis Fernando Molina committed 2020-06-18 12:19:20 +02:00
1 parent 4281ec7ae9
commit b42fcf0038
5 files changed
+31 -29
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LowFrequencyTrading/Snapshots.js
+1 -1
View File
@@ -62,7 +62,7 @@ exports.newSnapshots = function newSnapshots(bot, logger) {
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
tradingSystem.tradingStrategies[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
LowFrequencyTrading/TradingEngine.js
+6 -6
View File
@@ -193,7 +193,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
/* We take what was calculated at the formula and apply the slippage. */
let slippageAmount = tradingEngine.current.position.rate.value * bot.SESSION.parameters.slippage.config.positionRate / 100
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value - slippageAmount
} else {
tradingEngine.current.position.rate.value = tradingEngine.current.position.rate.value + slippageAmount
@@ -216,7 +216,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
let feePaid = 0
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
feePaid = tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
tradingEngine.current.balance.quotedAsset.value = tradingEngine.current.balance.quotedAsset.value + tradingEngine.current.position.size.value * tradingEngine.current.position.rate.value - feePaid
@@ -234,7 +234,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
tradingEngine.current.distanceToEvent.closePosition.value = 1
/* Position size and rate */
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
}
function closePosition() {
@@ -242,7 +242,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
let feePaid = 0
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
feePaid = tradingEngine.current.balance.quotedAsset.value / tradingEngine.current.position.endRate.value * bot.SESSION.parameters.feeStructure.config.taker / 100
@@ -256,7 +256,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
tradingEngine.current.balance.baseAsset.value = 0
}
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
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 }
@@ -276,7 +276,7 @@ exports.newTradingEngine = function newTradingEngine(bot, logger) {
tradingEngine.episode.episodeCounters.fails.value++
}
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
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.value * 365
LowFrequencyTrading/TradingExecution.js
+2 -2
View File
@@ -131,7 +131,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
let amountB
let orderSide
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
orderSide = 'sell'
orderPrice = tradingEngine.current.position.rate.value
@@ -257,7 +257,7 @@ exports.newTradingExecution = function newTradingExecution(bot, logger) {
let amountB
let orderSide
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
orderSide = 'buy'
orderPrice = ticker.last + 100 // This is provisional and totally arbitrary, until we have a formula on the designer that defines this stuff.
LowFrequencyTrading/TradingSimulation.js
+4 -2
View File
@@ -46,7 +46,6 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
let closingPosition
/* These are the Modules we will need to run the Simulation */
const EXCHANGE_API = require('../ExchangeAPI');
exchangeAPI = EXCHANGE_API.newExchangeAPI(logger, bot);
exchangeAPI.initialize();
@@ -83,6 +82,9 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
let heartBeatDate
let previousHeartBeatDate
/* This determines where we are standing */
bot.sessionAndMarketBaseAssetsAreEqual = (sessionParameters.sessionBaseAsset.referenceParent.referenceParent.config.codeName === bot.market.baseAsset)
initializeLoop()
function initializeLoop() {
@@ -417,7 +419,7 @@ exports.newTradingSimulation = function newTradingSimulation(bot, logger, UTILIT
let maximumBalance
let balance
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
balance = tradingEngine.current.balance.baseAsset.value
minimumBalance = sessionParameters.sessionBaseAsset.config.minimumBalance
maximumBalance = sessionParameters.sessionBaseAsset.config.maximumBalance
LowFrequencyTrading/TradingSystem.js
+18 -18
View File
@@ -219,12 +219,12 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
be outside a strategy again and looking for the conditions to enter all over again.
*/
for (let j = 0; j < tradingSystem.strategies.length; j++) {
for (let j = 0; j < tradingSystem.tradingStrategies.length; j++) {
if ( // If a strategy was already picked during the loop, we exit the loop
tradingEngine.current.strategy.index.value !== tradingEngine.current.strategy.index.config.initialValue
) { continue }
let strategy = tradingSystem.strategies[j]
let strategy = tradingSystem.tradingStrategies[j]
let triggerStage = strategy.triggerStage
if (triggerStage !== undefined) {
@@ -282,7 +282,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function checkTriggerOff() {
if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let triggerStage = strategy.triggerStage
if (triggerStage !== undefined) {
@@ -334,7 +334,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function checkTakePosition() {
/* Take Position Condition */
if (tradingEngine.current.strategy.stageType.value === 'Trigger Stage') {
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let triggerStage = strategy.triggerStage
if (triggerStage !== undefined) {
@@ -388,7 +388,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function checkStopPhasesEvents() {
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let parentNode
@@ -511,7 +511,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function calculateStopLoss() {
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let phase
@@ -548,7 +548,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function checkTakeProfitPhaseEvents() {
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let parentNode
@@ -673,7 +673,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function calculateTakeProfit() {
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
let openStage = strategy.openStage
let manageStage = strategy.manageStage
let phase
@@ -711,7 +711,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function checkStopLossOrTakeProfitWasHit() {
{
if (tradingEngine.current.strategy.stageType.value === 'Open Stage' || tradingEngine.current.strategy.stageType.value === 'Manage Stage') {
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
/*
Checking what happened since the last execution. We need to know if the Stop Loss
or our Take Profit were hit.
@@ -719,7 +719,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
/* Stop Loss condition: Here we verify if the Stop Loss was hitted or not. */
if (
(sessionParameters.sessionBaseAsset.name === bot.market.baseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value) ||
(bot.sessionAndMarketBaseAssetsAreEqual && tradingEngine.current.candle.max.value >= tradingEngine.current.position.stopLoss.value) ||
(sessionParameters.sessionBaseAsset.name !== bot.market.baseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.stopLoss.value)
) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Stop Loss was hit.') }
@@ -729,7 +729,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
This prevents misscalculations when a formula places the stop loss in this case way beyond the market price.
If we take the stop loss value at those situation would be a huge distortion of facts.
*/
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
if (tradingEngine.current.position.stopLoss.value < tradingEngine.current.candle.min.value) {
tradingEngine.current.position.stopLoss.value = tradingEngine.current.candle.min.value
}
@@ -744,7 +744,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
/* Apply the Slippage */
let slippageAmount = slippedStopLoss * bot.SESSION.parameters.slippage.config.stopLoss / 100
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
slippedStopLoss = slippedStopLoss + slippageAmount
} else {
slippedStopLoss = slippedStopLoss - slippageAmount
@@ -766,7 +766,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
/* Take Profit condition: Here we verify if the Take Profit was hit or not. */
if (
(sessionParameters.sessionBaseAsset.name === bot.market.baseAsset && tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value) ||
(bot.sessionAndMarketBaseAssetsAreEqual && tradingEngine.current.candle.min.value <= tradingEngine.current.position.takeProfit.value) ||
(sessionParameters.sessionBaseAsset.name !== bot.market.baseAsset && tradingEngine.current.candle.max.value >= tradingEngine.current.position.takeProfit.value)
) {
if (FULL_LOG === true) { logger.write(MODULE_NAME, '[INFO] checkStopLossOrTakeProfitWasHit -> Take Profit was hit.') }
@@ -776,7 +776,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
This prevents misscalculations when a formula places the take profit in this case way beyond the market price.
If we take the stop loss value at those situation would be a huge distortion of facts.
*/
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
if (tradingEngine.current.position.takeProfit.value > tradingEngine.current.candle.max.value) {
tradingEngine.current.position.takeProfit.value = tradingEngine.current.candle.max.value
}
@@ -790,7 +790,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
/* Apply the Slippage */
let slippageAmount = slippedTakeProfit * bot.SESSION.parameters.slippage.config.takeProfit / 100
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
slippedTakeProfit = slippedTakeProfit + slippageAmount
} else {
slippedTakeProfit = slippedTakeProfit - slippageAmount
@@ -838,13 +838,13 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function getPositionSize() {
let balance
if (sessionParameters.sessionBaseAsset.name === bot.market.baseAsset) {
if (bot.sessionAndMarketBaseAssetsAreEqual) {
balance = tradingEngine.current.balance.baseAsset.value
} else {
balance = tradingEngine.current.balance.quotedAsset.value
}
const DEFAULT_VALUE = balance
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
if (strategy.openStage === undefined) return { DEFAULT_VALUE }
if (strategy.openStage.initialDefinition === undefined) return { DEFAULT_VALUE }
@@ -858,7 +858,7 @@ exports.newTradingSystem = function newTradingSystem(bot, logger) {
function getPositionRate() {
const DEFAULT_VALUE = tradingEngine.current.candle.close.value
let strategy = tradingSystem.strategies[tradingEngine.current.strategy.index.value]
let strategy = tradingSystem.tradingStrategies[tradingEngine.current.strategy.index.value]
if (strategy.openStage === undefined) return { DEFAULT_VALUE }
if (strategy.openStage.initialDefinition === undefined) return { DEFAULT_VALUE }