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New Modules for Outgoing Signals and Portfolio Manager Client

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Luis Fernando Molina committed 2021-11-29 13:47:50 +01:00
1 parent c741f8b2c4
commit b577dcc3d5
9 files changed
+170 -166
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Projects/Algorithmic-Trading/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingStages.js
+39 -28
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@@ -25,6 +25,8 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
let tradingPositionModuleObject = TS.projects.algorithmicTrading.botModules.tradingPosition.newAlgorithmicTradingBotModulesTradingPosition(processIndex)
let tradingExecutionModuleObject = TS.projects.algorithmicTrading.botModules.tradingExecution.newAlgorithmicTradingBotModulesTradingExecution(processIndex)
let announcementsModuleObject = TS.projects.socialBots.botModules.announcements.newSocialBotsBotModulesAnnouncements(processIndex)
let outgoingTradingSignalsModuleObject = TS.projects.tradingSignals.modules.outgoingTradingSignals.newTradingSignalsModulesOutgoingTradingSignals(processIndex)
let portfolioManagerClient = TS.projects.portfolioManagement.modules.portfolioManagerClient.newPortfolioManagementModulesPortfolioManagerClient(processIndex)
let snapshotsModuleObject = TS.projects.algorithmicTrading.botModules.snapshots.newAlgorithmicTradingBotModulesSnapshots(processIndex)
let tradingEpisodeModuleObject = TS.projects.algorithmicTrading.botModules.tradingEpisode.newAlgorithmicTradingBotModulesTradingEpisode(processIndex)
@@ -137,7 +139,11 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
passed = tradingSystem.checkConditions(situation, passed)
tradingSystem.values.push([situation.id, passed])
portfolioManagerClient.askPortfolioEventManager(triggerStage.triggerOn, { status: passed })
if (passed) {
tradingSystem.highlights.push(situation.id)
tradingSystem.highlights.push(triggerStage.triggerOn.id)
tradingSystem.highlights.push(triggerStage.id)
@@ -147,6 +153,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* Initialize this */
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.triggerOn.value = 1
outgoingTradingSignalsModuleObject.broadcastSignal(triggerStage.triggerOn)
announcementsModuleObject.makeAnnouncements(triggerStage.triggerOn)
if (TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
@@ -156,9 +163,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
}
}
}
changeStageStatus('Trigger Stage', 'Open')
}
}
}
@@ -194,6 +199,8 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(triggerStage.id)
tradingEngine.tradingCurrent.tradingEpisode.distanceToTradingEvent.triggerOff.value = 1
outgoingTradingSignalsModuleObject.broadcastSignal(triggerStage.triggerOff)
announcementsModuleObject.makeAnnouncements(triggerStage.triggerOff)
changeStageStatus('Trigger Stage', 'Closed', 'Trigger Off Event')
tradingStrategyModuleObject.closeStrategy('Trigger Off')
@@ -233,6 +240,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.openPosition(situation.name)
outgoingTradingSignalsModuleObject.broadcastSignal(triggerStage.takePosition)
announcementsModuleObject.makeAnnouncements(triggerStage.takePosition)
if (TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.type === 'Backtesting Session') {
@@ -266,7 +274,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
function checkIfWeNeedToAbortTheStage() {
/* Abort Open Stage Check */
if (tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Open' &&
(tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Opening' || tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Open') ){
(tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Opening' || tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Open')) {
/*
if the Close stage is opened while the open stage is still open that means that
we need to stop placing orders, check what happened to the orders already placed,
@@ -331,7 +339,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* User Defined Code if runWhileAtStage==true */
if (tradingEngine.tradingCurrent.strategyOpenStage.status.value === 'Open') {
checkUserDefinedCode('Open Stage', 'Running', 'last');
checkUserDefinedCode('Open Stage', 'Running', 'last');
}
}
}
@@ -464,7 +472,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* If User Defined Code exists check for runWhileAtStage */
if (tradingEngine.tradingCurrent.strategyManageStage.status.value === 'Open') {
checkUserDefinedCode('Manage Stage', 'Running', 'last');
checkUserDefinedCode('Manage Stage', 'Running', 'last');
}
}
@@ -696,6 +704,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingPositionModuleObject.updateTakeProfit(tradingEngine.tradingCurrent.position.takeProfit.takeProfitPhase.value + 1)
outgoingTradingSignalsModuleObject.broadcastSignal(nextPhaseEvent)
announcementsModuleObject.makeAnnouncements(nextPhaseEvent)
/* Reset this counter */
@@ -747,6 +756,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
continue
}
outgoingTradingSignalsModuleObject.broadcastSignal(moveToPhaseEvent)
announcementsModuleObject.makeAnnouncements(moveToPhaseEvent)
/* Reset this counter */
@@ -876,7 +886,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
checkIfStageNeedsToBeClosed(tradingEngineStage, tradingSystemStage, 'Close Stage')
/* If User Defined Code exists check for runWhileAtStage */
if (tradingEngine.tradingCurrent.strategyCloseStage.status.value === 'Open') {
checkUserDefinedCode('Close Stage', 'Running', 'last');
checkUserDefinedCode('Close Stage', 'Running', 'last');
}
}
}
@@ -1108,6 +1118,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingSystem.highlights.push(closeStageEvent.id)
tradingSystem.highlights.push(stage.id)
outgoingTradingSignalsModuleObject.broadcastSignal(closeStageEvent)
announcementsModuleObject.makeAnnouncements(closeStageEvent)
return true
}
@@ -1172,7 +1183,7 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* Recording the closing at the Trading Engine Data Structure */
stage.end.value = tradingEngine.tradingCurrent.tradingEpisode.cycle.lastEnd.value
stage.endRate.value = tradingEngine.tradingCurrent.tradingEpisode.candle.close.value
if (stageName === 'Open Stage') {
if (tradingEngine.tradingCurrent.strategyCloseStage.status.value !== 'Opening' && tradingEngine.tradingCurrent.strategyCloseStage.status.value !== 'Open' &&
tradingEngine.tradingCurrent.strategyManageStage.status.value !== 'Opening' && tradingEngine.tradingCurrent.strategyManageStage.status.value !== 'Open') {
@@ -1272,20 +1283,20 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
tradingSystemStage.userDefinedCode !== undefined) {
if (status === 'Running' && when !== tradingSystemStage.userDefinedCode.config.whileAtStageWhenToRun) { return; }
switch(status) {
case 'Open' : {
switch (status) {
case 'Open': {
if (tradingSystemStage.userDefinedCode.config.runWhenEnteringStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
}
break;
}
case 'Running' : {
case 'Running': {
if (tradingSystemStage.userDefinedCode.config.runWhileAtStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
}
break;
}
case 'Closed' : {
case 'Closed': {
if (tradingSystemStage.userDefinedCode.config.runWhenExitingStage) {
tradingSystem.evalUserCode(tradingSystemStage, 'User Defined Code');
}
@@ -1305,23 +1316,23 @@ exports.newAlgorithmicTradingBotModulesTradingStages = function (processIndex) {
/* getTradingSystemStage(): takes stage name returns stage object. */
function getTradingSystemStage(stage) {
switch(stage) {
case 'Trigger Stage' : {
return tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].triggerStage;
break;
switch (stage) {
case 'Trigger Stage': {
return tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].triggerStage;
break;
}
case 'Open Stage': {
return tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].openStage;
break;
}
case 'Manage Stage': {
return tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].manageStage;
break
}
case 'Close Stage': {
return tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].closeStage;
break;
}
}
case 'Open Stage' : {
return tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].openStage;
break;
}
case 'Manage Stage' : {
return tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].manageStage;
break
}
case 'Close Stage' : {
return tradingSystem.tradingStrategies[tradingEngine.tradingCurrent.strategy.index.value].closeStage;
break;
}
}
}
}