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New Modules for Outgoing Signals and Portfolio Manager Client

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This commit is contained in:
Luis Fernando Molina committed 2021-11-29 13:47:50 +01:00
1 parent c741f8b2c4
commit b577dcc3d5
9 files changed
+144 -140
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Projects/Algorithmic-Trading/TS/Bot-Modules/Trading-Bot/Low-Frequency-Trading/TradingStages.js
+13 -2
View File
@@ -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') {
@@ -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 */
@@ -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
}
Projects/Governance/Plugins/Pools/Superalgos.json
+5 -3
View File
@@ -961,8 +961,10 @@
},
"referenceParentCombinedNodePath": [
[
"Superalgos",
"Positions"
"Teams of Contributors",
"Positions",
"Governance",
"862caa2e-7c05-4051-b5eb-3494174e2cd9"
]
]
}
@@ -1006,7 +1008,7 @@
"floatingObject": {
"isPinned": false,
"isFrozen": false,
"isCollapsed": false,
"isCollapsed": true,
"angleToParent": 1,
"distanceToParent": 3,
"arrangementStyle": 0
Projects/Governance/Plugins/Positions/Superalgos.json
+1 -1
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@@ -2343,7 +2343,7 @@
"floatingObject": {
"isPinned": false,
"isFrozen": false,
"isCollapsed": false,
"isCollapsed": true,
"angleToParent": 1,
"distanceToParent": 3,
"arrangementStyle": 0
Projects/Portfolio-Management/TS/Modules/PortfolioManagerClient.js
+30
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@@ -0,0 +1,30 @@
exports.newPortfolioManagementModulesPortfolioManagerClient = function (processIndex) {
/*
This object represents a proxy of the Profile Manager. It is used to send
questions to the Event and Formula Managers and receive their answers.
*/
let thisObject = {
askPortfolioEventManager: askPortfolioEventManager,
askPortfolioFormulaManager: askPortfolioFormulaManager,
initialize: initialize,
finalize: finalize
}
return thisObject
function initialize() {
}
function finalize() {
}
async function askPortfolioEventManager(eventNode, conectInfo) {
console.log('here')
}
async function askPortfolioFormulaManager() {
}
}
Projects/Portfolio-Management/TS/Modules/PortfolioManagerEventsClient.js
+28
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@@ -0,0 +1,28 @@
exports.newPortfolioManagementModulesPortfolioManagerEventsClient = function (processIndex) {
/*
This object represents the client to access the Portfolio Manager from a Trading Bot.
It is an events client because the communication with the Portfolio Manager happens
at the events layer, provided by the Events Server.
*/
let thisObject = {
sendMessage: sendMessage,
initialize: initialize,
finalize: finalize
}
return thisObject
function initialize() {
}
function finalize() {
}
async function sendMessage(message) {
}
}
Projects/Portfolio-Management/TS/Modules/PortfolioManagerEventsInterface.js
+20
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@@ -0,0 +1,20 @@
exports.newPortfolioManagementModulesPortfolioManagerEventsInterface = function (processIndex) {
/*
This object represents the interface between the Portfolio Manager and Trading Bots.
It is an events based interface because the communicatin happens via the Events Server.
*/
let thisObject = {
initialize: initialize,
finalize: finalize
}
return thisObject
function initialize() {
}
function finalize() {
}
}
Projects/ProjectsSchema.json
+25 -5
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@@ -171,6 +171,26 @@
]
},
"TS": {
"modules": [
{
"name": "Portfolio Manager Client",
"propertyName": "portfolioManagerClient",
"functionName": "newPortfolioManagementModulesPortfolioManagerClient",
"fileName": "PortfolioManagerClient.js"
},
{
"name": "Portfolio Manager Events Client",
"propertyName": "portfolioManagerEventsClient",
"functionName": "newPortfolioManagementModulesPortfolioManagerEventsClient",
"fileName": "PortfolioManagerEventsClient.js"
},
{
"name": "Portfolio Manager Events Interface",
"propertyName": "portfolioManagerEventsInterface",
"functionName": "newPortfolioManagementModulesPortfolioManagerEventsInterface",
"fileName": "PortfolioManagerEventsInterface.js"
}
],
"botModules": [
{
"name": "PM Communication Module - Portfolio",
@@ -1921,12 +1941,12 @@
"utilities": []
},
"TS": {
"botModules": [
"modules": [
{
"name": "Trading Signals",
"propertyName": "tradingSignals",
"functionName": "newTradingSignalsBotModulesTradingSignals",
"fileName": "TradingSignals.js",
"name": "Outgoing Trading Signals",
"propertyName": "outgoingTradingSignals",
"functionName": "newTradingSignalsModulesOutgoingTradingSignals",
"fileName": "OutgoingTradingSignals.js",
"folderName": ""
}
]
Projects/Trading-Signals/TS/Bot-Modules/TradingSignals.js
-129
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@@ -1,129 +0,0 @@
exports.newTradingSignalsBotModulesTradingSignals = function (processIndex) {
let thisObject = {
makeAnnouncements: makeAnnouncements,
initialize: initialize,
finalize: finalize
}
let tradingSystem
let tradingEngine
let sessionParameters
let taskParameters
return thisObject
function initialize() {
tradingSystem = TS.projects.foundations.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingSystem
tradingEngine = TS.projects.foundations.globals.processVariables.VARIABLES_BY_PROCESS_INDEX_MAP.get(processIndex).SIMULATION_STATE.tradingEngine
sessionParameters = TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.tradingParameters
taskParameters = {
exchange: TS.projects.foundations.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.parentNode.parentNode.name,
market: TS.projects.foundations.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.baseAsset.referenceParent.config.codeName +
'/' +
TS.projects.foundations.globals.taskConstants.TASK_NODE.parentNode.parentNode.parentNode.referenceParent.quotedAsset.referenceParent.config.codeName
}
}
function finalize() {
tradingSystem = undefined
tradingEngine = undefined
sessionParameters = undefined
taskParameters = undefined
TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.messagesSent = undefined
}
function makeAnnouncements(node, status='Open') {
if (node === undefined) { return }
if (node.announcements === undefined) { return }
for (let i = 0; i < node.announcements.length; i++) {
let announcement = node.announcements[i]
let canAnnounce = true
// Check configuration to see if Announcement should be run at Enter or Exit of Node
// set defaults, protect against empty configurations or missing values
let onEnter = true
let onExit = false
if (announcement.config.onEnter !== undefined) {
onEnter = announcement.config.onEnter
}
if (announcement.config.onExit !== undefined) {
onExit = announcement.config.onExit
if (announcement.config.onEnter === undefined) {
onEnter = false
}
}
if ((status === 'Open' && onEnter) || (status === 'Closed' && onExit)) {
canAnnounce = true
} else {
canAnnounce = false
}
if (announcement.announcementCondition !== undefined) {
let conditionValue
try {
conditionValue = eval(announcement.announcementCondition.code)
} catch (err) {
const message = 'Announcement Condition Evaluation Error'
let docs = {
project: 'Foundations',
category: 'Topic',
type: 'TS LF Trading Bot Error - ' + message,
placeholder: {}
}
TS.projects.education.utilities.docsFunctions.buildPlaceholder(docs, err, announcement.announcementCondition.name, announcement.announcementCondition.code, undefined, undefined, undefined)
tradingSystem.addError([announcement.announcementCondition.id, err.message, docs])
}
if (conditionValue !== true) { canAnnounce = false }
}
if (canAnnounce === true) {
let text = announcement.config.text
if (announcement.announcementFormula !== undefined) {
let formulaValue
let errorMessage
try {
formulaValue = eval(announcement.announcementFormula.code)
} catch (err) {
errorMessage = err.message
const message = 'Announcement Formula Evaluation Error'
let docs = {
project: 'Foundations',
category: 'Topic',
type: 'TS LF Trading Bot Error - ' + message,
placeholder: {}
}
TS.projects.education.utilities.docsFunctions.buildPlaceholder(docs, err, announcement.announcementFormula.name, announcement.announcementFormula.code, undefined, undefined, undefined)
tradingSystem.addError([announcement.announcementFormula.id, err.message, docs])
}
if (errorMessage == undefined) { text = formulaValue }
}
if (TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.socialBots !== undefined) {
TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.socialBots.announce(text)
tradingSystem.announcements.push([announcement.id, text])
} else {
const message = 'Social Bots Node Missing'
let docs = {
project: 'Foundations',
category: 'Topic',
type: 'TS LF Trading Bot Error - ' + message,
placeholder: {}
}
tradingSystem.addError([TS.projects.foundations.globals.processConstants.CONSTANTS_BY_PROCESS_INDEX_MAP.get(processIndex).SESSION_NODE.id, message, docs])
}
}
}
}
}
Projects/Trading-Signals/TS/Modules/OutgoingTradingSignals.js
+22
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@@ -0,0 +1,22 @@
exports.newTradingSignalsModulesOutgoingTradingSignals = function (processIndex) {
let thisObject = {
broadcastSignal: broadcastSignal,
initialize: initialize,
finalize: finalize
}
return thisObject
function initialize() {
}
function finalize() {
}
function broadcastSignal(node) {
if (node === undefined) { return }
if (node.outgoingSignals === undefined) { return }
}
}