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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/TradingSystem.js
+18 -18
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@@ -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 }